User blog comment:SayuriDarling/The Hammer of Thor Official Discussion/@comment-5984859-20151116190346/@comment-24883778-20151116214129

Well, first of all - we don't know if it's Loki (or any of his minions) that's stolen Mjolnir; he didn't in the original myth.

But if it was him, well I can think of a reason: Mjolnir was one of the most powerful weapons in the entire Norse mythology (along with probably Sumarbrander/Jack, and Odin's Gungnir). It was capable of destroying mountains but it's not just a weapon. It was used during formal ceremonies to bless marriages, births, and funerals. The fact that Otis and Marvin, the goats, are able to resurrect is because Thor hallowed their bones with Mjolnir the first time he ate them.

With this many properties of Mjolnir, I believe Loki can think of several reasons that the Hammer would be helpful to him.