Marvel Studios president Kevin Feige later confirmed that the Infinity Gauntlet Thanos retrieved was not the one in Odin’s vault, so if the Marvel heroes need their own Gauntlet, they can always ask Odin if they can borrow his.
The first was briefly seen in 2011’s Thor within Odin’s weapons vault, and was decorated with replicas of the Infinity Stones.
Unlike in the Marvel comics universe, there are at least two Infinity Gauntlets in the MCU.
Presumably it remains there with the rest of the dangerous artifacts, including the Space Stone.