Alias: Dr. Markus Lordison
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Thanatos wasn't one to really care too much about the destruction of Mount Olympus or the Olympians. He was a deity older than Zeus, son of Nyx, cousin of Cronus. He resided in the Underworld long before Hades claimed it for his own.
He, however did have a mutual understanding with the god. He was the only one that he would do something for if asked, unless it was of true import.
So when Hades asked for help with breaking out the Titans, of course he would assist.
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Now he lived in NYC with the others. He took the identity of a surgeon, being a CEO of a hospital. He does not care for the Olympian's petty messes. He's living and if anyone tries to hinder that, they'll find out exactly why he is the God of Death itself.