The Avengers considered visiting 2009 as part of their "Time Heist" in Avengers: Endgame - but why? As the climax of the MCU's first three phases, Avengers: Endgame used time travel to allow the surviving Avengers to revisit their past adventures in order to acquire all six Infinity Stones.
In the end, the Avengers settled for three time periods, which they visited in three separate teams. Steve Rogers, Tony Stark, and Ant-Man took advantage of the fact three Infinity Stones were in New York in 2012 during the Battle of New York; Thor and Rocket went to Asgard to retrieve the Aether in 2013; and Hawkeye, Nebula, Gamora, and War Machine went to 2014 to pick up the Power Stone on Morag and the Soul Stone on Vormir.
Surprisingly, though, it looks as though the Avengers also considered visiting 2009. In one scene, 2014's Nebula heads back to the time platform in order to betray the team and bring Thanos to the present. It's difficult to spot, but the screen shows other time-periods the Avengers were considering. One of them is November 2009.
The Avengers carefully chose what times to visit based upon the ease with which they could access an Infinity Stone. That clearly means that something must have happened in 2009 that involves an Infinity Stone. At that time, the Reality Stone was still hidden in the ancient vault constructed by Thor's grandfather, Bor; the Power Stone was inaccessible, with the Temple of the Power Stone on Morag submerged until the tides receded in 2014; Thanos still had possession of the Mind Stone, and the Soul Stone was secreted on Vormir, which could've been picked up at any point. This can only be connected to the Tesseract then.
The question is a simple one: What happened to the Tesseract in 2009? It's known to have been in SHIELD's possession since 1995, when Goose coughed it up on Nick Fury's desk in Captain Marvel's post-credits scene. According to tie-in comics, such as Fury's Big Week, Fury himself refused to devote resources to researching the Tesseract. It's possible that he believed its powers were too great, and was wary of drawing another alien invasion after the events of Captain Marvel. Whatever the reason, though, Fury shelved the Tesseract project for some time. It wasn't until the late 2000s that the World Security Council began to pressure Fury into focusing his attention on the Tesseract once more. The arrival of Asgardians on Earth in Thor persuaded Fury he had to change his priorities, and he swiftly recruited Erik Selvig to work on the Tesseract as part of a reactivated Project PEGASUS.
It's possible, then, that the Tesseract was moved in 2009 - taken back to Project PEGASUS, at the World Security Council's bidding. If that's the case, the Avengers would probably be aware of it; Tony Stark reviewed the history of the Tesseract as far back as The Avengers, although the file is sure to have been redacted so as not to mention Kree and Skrulls. It would be easier to steal the Tesseract during transport than to break into Project PEGASUS, so this time period would naturally become of interest. In the end, however, the Avengers realized that no less than three Infinity Stones were in New York in 2012, so they dropped the 2009 plan altogether.
