For a while, we actually had an answer to why Thor didn't turn up in Civil War, thanks to the hilarious short films Taika Waititi made as a precursor to Thor: Ragnarok, featuring Thor and his new flatmate Darryl, but now that's been removed from the canon. It shouldn't come as too much of a surprise, really, but it's still a shame as those little stories were a great addition to the MCU.
The shorts have now been superseded thanks to the official line from Marvel producer Brad Winderbaum, who spoke to ScreenRant on the movie's set and revealed that Thor has spent the time between Age Of Ultron and Ragnarok following the hints dropped in his vision in the former.
Winderbaum revealed that Thor's journey - which will bring him into conflict with Hela purely incidentally by the sound of it - reveals exactly the scale of Thanos' threat. In a slightly spoilerific revelation, he says that Thor actually heads to Muspelheim at the start of the movie seeking answers about Thanos:
The journey he’s been on at the beginning of this movie, it’s not like five minutes after Ultron ends we start this movie: it’s a couple years later. And as we know, at the end of Ultron he’s started this quest to find the puppet master, and the Infinity Stones, and all that. What he realized really fast– I don’t think I’m giving too much away because it’s right at the top of the film, but basically that one quest, that universe-ending peril that he was trying to figure out dovetailed or branched off into any number of universe ending-perils that he’s been adventuring on for the two years leading up to the beginning of this film.
So, rather than just kicking back with his new buddy Darryl while the rest of the Earth was torn apart by ideological war, Thor has actually been exploring what the vision Scarlet Witch unlocked in him means. And following the trail left by Thanos, he heads to the realm of Hell as part of a journey that has made him a far more formidable foe for Thanos.
So far, we've seen Thor struggle somewhat with his powers - partly because his arc has been about becoming worthy enough to take the throne of Asgard - but his adventures have crafted him into something far closer to the source material's depiction of him as a powerful BIG DEAL.
And Winderbaum also reveals that the new "lone gunslinger" Thor will be a very key figure when the war against Thanos kicks off in earnest. Which might suggest that it's Thanos who is behind Hela's escape (at least partly), as he seeks to pull strings to keep Thor out of his business:
We find him as a lone gunslinger, you know, a guy who’s been adventuring around the cosmos for two years right at the top of our movie. He’s a more savvy version of the character. In Dark World he has trouble navigating that Dark Elf spaceship… but that’s the Thor of the past.