A popular theory regarding Loki's fate at the hands of Thanos claimed he was still alive because he did not revert to his Jotun form upon dying. Given Thor's half-brother's true biological background, many suspected his death was fake when he did not turn blue upon death, as was revealed in Thor when he touched certain relics or came in contact with Frost Giants.
Now, a Marvel Studios art book has revealed those instances are among the only factors which would cause Loki to reveal his blue skin. Not even death will bring out Loki's other colors.
I've seen many people question why Loki didn't revert back to his jotun form when he died, and whether his death was real based on his lack of transformation. These pages from the Marvel Studios Visual Dictionary explain why Loki remained in his Asgardian form during death. from r/marvelstudios
As noted in the photos above, Loki's "Blue Frost Giant skin" is "transformed by Odin" to make him look like he belongs in Asgard rather than being kin to one of their biggest foes. "Whenever Loki touches Frost Giants or their relics, he temporarily reverts back to his original form, with blue skin and red eyes."
Death, however, is not a cause of Loki turning back to his original form. For the time being, it seems Loki is really, truly dead this time.
"Listen... I've heard some amazing theories about this. I was in a park in London a couple of weeks ago, and some guys came and said hi, and they asked me the same question," Hiddleston said at ACE Comic Con. "Your guess is as good as mine."
Hiddleston is expected to play Loki in a television series reportedly being developed by the Disney+ streaming service, which could take place before the events of Infinity War. If he is going to be brought back to life in some fashion, it might be in the next big ensemble outing from Marvel Studios in the Marvel Cinematic Universe's Avengers 4, which opens in theaters on May 3.