The explosion of the Bifrost and breaking of the rainbow bridge caused Loki and Thor to be flown up into the air. In the explosion, Thors hammer flew out of his hand. They both were about to fall into complete space when their father came in the nick of time and grabbed Thor's foot. In the explosion, Loki managed to keep a hold of his scepter. Thor grabbed it. Both Thor and Loki were dangling off the bridge. The only thing that was keeping them from falling was their father.
Loki looks up at his brother and father. There's no coming back from this. He'll spend the rest of his days in the dungeons for treason against the King. Either way he won't be with Y/N. A tear drops from Loki's eye. There's only one way to end this. He looks into his brothers eyes. He loosens his grip on the scepter.
Thor: Loki no.
Loki lets go of the scepter and starts to fall into space. This is what was best for him in the moment. Life isn't worth living if he can't ever be with Y/N.
Thor: NOO.
Thor watches Loki fall and fall until Loki just vanishes into space. His brother was dead. Odin drags Thor up onto the rainbow bridge that wasn't destroyed in the explosion. Thor is in shock. He doesn't know what to do. After calming down, he tells his father about everything that happened. Odin and Thor then go back to the castle to tell Frigga everything.
Frigga: How could you say that? Our son is dead.
Odin: He committed treason Frigga.
Frigga: He deserves a funeral. He is the Prince.
Odin: Not after what he was trying to do to Thor. The King.
Thor just listens to his mother and father talk. He hasn't said a word. He is devastated that his brother is gone. He doesn't care that Loki committed treason or even tried to send him somewhere. He loved his brother. Thor can't stop thinking about one of the last things Loki said to him. "Once you're gone, I can be happy again finally." What did Loki mean by that?
Odin: I will guide Thor through this.
Frigga: What should I do?
Odin: I need you to tell Y/N for Thor.
Frigga does as she is told. She takes some time to pull herself together before she goes to Y/N's room. Y/N has no idea what is going on. She's been getting ready for bed. She turned in early this evening right after the wedding meeting. After an hour, Frigga finally knocks on the door of Y/N's room to tell her.
Y/N: Come in.
Frigga: Y/N.
Y/N: Good Evening, my queen.
Frigga: Y/N, my darling. Our prince Loki is dead.
Y/N: What?
Y/N's heart sank. Loki is dead? How? When? So many thoughts are going through her head all at once. She is in total shock. Her heart is broken. How can see ever recover from this news? Frigga ends up telling her the story. After telling Y/N everything, Frigga leaves the room. Instantly, she falls to her knees and cries her eyes out. Her one and only love is dead.
