Board Thread:General Discussion/@comment-17054615-20150516215111/@comment-1298029-20150517005040

Then there's however the slight problem of the ending of Thor 2, where the Asgardians give the Aether to the Collector on account of not wanting to have two gems on Asgard, while specifically mentioning that the one they already have is the Tesseract. That would mean they either don't know Heimdall has another (unlikely, especially given that Loki compliments Heimdall on his power), or it'd be inconsistent with Heimdall having a gem.