When Loki temporarily dies, he and Annie have this conversation:
"What happens now?" he asked Annie, humbly.
"I don't know," Annie admitted. "For humans, it's usually a door. You pass through it and move on."
"I am not human," Loki reminded her. "Or Aesir, or Jotun either, really. I am not... anything. I do not know what I am, or what might be waiting for me."
"No. Valhalla is for warriors.
" He looked down at Annie, his expression curious. "Was there not a door for you?" He knew this already, she had told him before, but somehow he wanted to ask her again.