*The following theories contain spoilers for Captain America: Civil War and previous MCU films.
We first need to look back at the events of Thor: The Dark World. At the end, it is revealed that Loki has been impersonating as Odin at Asgard. After Scarlet Witch in Avengers: Age of Ultron puts a spell on Thor’s mind, Thor gets a glimpse of a possible future that could bestow upon Asgard, causing him to return to his homeland after the events of Age of Ultron.
Loki & Ultron
It is unclear if Vision killed Ultron, as us the viewer only see a flash of light when he blasts Ultron with the infinity stone at the end of the second Avengers movie. Also, being that Ultron is in essence a supercomputer of immense intelligence, it is quite probable that he saved a backup file of his system somewhere in the universe.
The events of Thor’s dream is definitely a precursor to what could happen in next year’s Thor: Ragnarok, but I don’t think Ultron will have anything to do with it. A theory though, is that after the events of Thor: Ragnarok, after some event that Loki once again fails to defeat Thor, Loki will revive Ultron and both of them would join the titan Thanos. Now, knowing Ultron, why would Ultron form a coalition with the god of mischief?
Loki & Different Dimensions
Loki has something Ultron doesn’t have. Loki is able to travel between different dimensions, giving Ultron other worlds to “bring peace,” as he said in Age of Ultron, although he could do this with Thanos too. As much as I would love to see a Thanos-Loki-Ultron coalition, it is unlikely the formation of such a team, given the circumstances. Thanos gave the infinity stone-powered-scepter to Loki, as well as an army of Chitauri aliens, and Loki eventually failed. Later, the scepter was used to create the powerful Ultron and he was defeated.
When the mid-credit scene appears at the end of Avengers: Age of Ultron, we see Thanos who says “fine, I’ll do it myself.” His remark can have several meanings, one being that he knew of Ultron’s existence and was aware of his plans, leaving him more than disinterested to once again use Ultron.
Arnim Zola & Ultron
Another theory is that the villain Arnim Zola from Captain America: The Winter Soldier, could have accessed the Ultron backup file, if Ultron did indeed make one, and if Zola didn’t actually completely die during the explosion in the Black Widow/Steve Rogers ancient Hydra facility scene in Winter Soldier.
Remember that Zola inserted his mind into computer servers as computer code, and when Black Widow and Captain America entered the ancient hydra facility, there was a device with several USB slots opened, giving rise the possibility that a part of Zola could still be roaming around somewhere.
If Zola is still alive, then maybe he will revive Ultron, and join the titan Thanos in the Infinity War. Now, who could find or have the hidden Arnim Zola thumb drive? We can give that speculative title to Daniel Bruhl’s Zemo from the recent Captain America: Civil War.
Helmut Zemo & Ultron
After Zemo’s imprisonment after the events of Civil War, his intentions to destroy the Avengers are still present, and after his meticulous plan to put the Avengers against each other succeeded, it is likely he will try some new intricate plan again.
It’s improbable that he would want to bring back Ultron since Ultron is the reason Zemo’s family died; though Zemo blames the Avengers. Nonetheless, knowing how ruthless Zemo has become, we can’t discard that possibility.
I still believe that Ultron is lurking around somewhere in the Marvel Cinematic Universe, and hopefully Marvel has intentions in bringing him back, not just through dialogue between Avengers (Captain America: Civil War scene).
Black Panther & Wakanda
Another theory of Ultron’s possible return, is based in Wakanda. We recently got introduced to the technologically-advanced nation of Wakanda in Captain America: Civil War, and with the storing of the Winter Soldier/Bucky at the end of the movie, what other powered treasures does Wakanda have stored? The vibranium-rich country would be a place where Ultron could thrive.
We know Ultron was in search of vibranium in Avengers: Age of Ultron, completely revamping his armor, and Ultron’s intricate system could be something Wakandan scientists could be experimenting. Storing Ultron in Wakanda would be insanely dangerous, but hey, so is storing the Winter Soldier.
Guardians of the Galaxy & The Collector
Keeping to the theme of storage, another theory of Ultron’s return could be based around the Guardians of the Galaxy. If Ultron is lurking around somewhere in the universe, he could probably become a brand new item in the Collector’s collection.
Returning to the Loki-Thanos-Ultron theory from before, instead of Loki reviving Ultron and joining Thanos, Loki could potentially trade the Ultron A.I. with the Collector, in return for something powerful from the Collector's multitude of things, like the Aether, who he received from Lady Sif after the events of Thor: The Dark World in its end-credit scene. We know the Collector is still in possession of the Aether after the events of Guardians of the Galaxy, since it was not mentioned or presented in the movie.
Even if it is not the case that Loki trades the possible Ultron A.I. with the Collector, it could possibly be the way we see the Guardians of the Galaxy’s story line connect with the Avengers, through Loki in some way or another.
With the recent news of the casting of Jeff Goldblum as Grandmaster, the Collector's brother, it's probable Grandmaster might have a connection to a possible Ultron backup system in the universe. Maybe to be used in one of his cosmic games (Contest of Champions)?
Will Ultron Return to the MCU?
The coming Infinity Wars will be centered around the titan Thanos and his Infinity Gauntlet. I believe he will most definitely have some henchmen by his side, one possibly being Loki (Masters of Evil?).
Ultron is a character that is impossible to permanently kill, as shown in the comics. Such an important and widely-known villain as Ultron, is likely to appear once again, maybe in one of the Infinity Wars? The possibilities are endless.