User blog comment:ImperiexSeed/The oldest being, archangel or leviathan?/@comment-101.160.191.17-20120522085708/@comment-5110811-20120526164958

The Colt went missing somehow after season 5. Besides they used up all the original bullets. After that the Colt was more of a patch up work thanks to Ruby's help. The winchesters had to go back in time to use the colt to kill the phoenix. They can't take the colt with them because it might cause a temporal paradox of some sorts. Plus the writers want to be creative so they want to get rid of the colt because they realized it is plot device instant kill weapon. The seasonal plots would be boring with no challenges if the Colt was used as a last resort every single time. Eric Kripke, Carver, Edlund, and Gamble don't want that to happen. They prefer to move on without it.

They needed the horsemen's rings to open Lucifer's cage. Which is why they weren't killed by the colt. They didn't have it then anyway. Death is an anomaly among his brothers despite being a horseman himself. They are absolutely nothing compared to him. He can function fine without his ring unlike his brothers, plus he can't die anyway.