At the end of Avengers: Age Of Ultron, Thor returns to Asgard to investigate who has been trying to collect the Infinity Stones. As a result, speculation has been running rampant that the God of Thunder will be put on a collision course with Thanos, and it will actually be the Mad Titan who brings Ragnarok to Thor's home. That actually makes a lot of sense. Like Captain America, Thor is apparently being left out of Avengers: Infinity War Part 1 (at least in a major role). That's because he's going to end up in a "galactic prison" of some sort by the end of his next movie, which quite possibly means that he'll be in the hands of Thanos by the time this movie rolls around. For now, how he escapes remains a mystery.
