Because it didn't belong to Asgard
The Tesseract was originally an Asgardian possession and so, rightfully, belonged in Odin's Vault.
The sceptre was NOT an Asgardian possession.., assuming Thor actually knew it had "abilities" separate from the Tesseract (of which there is no indication) let alone that Infinity Stones even existed.
Consequently, it was, apparently, salvaged by S.H.I.E.L.D. and, eventually fell into the hands of HYDRA
The fate of the scepter is covered in This Scepter'd Isle
With the Battle of New York concluded, the Scepter that was used by the Asgardian war criminal Loki is given to S.H.I.E.L.D. scientists Nicholas Cooper and Mark Smith for study. Smith, who abhors his scientific position, is approached by secret HYDRA leader Wolfgang von Strucker to join HYDRA, which is working within S.H.I.E.L.D. Accepting Strucker's offer, Smith steals the scepter and kills Cooper, bringing it to Strucker's facility in Sokovia, a European country embroiled in constant conflict.