Imperius did not carry the spear at his side at all times. Rather, he summoned it from on high as a lance of blinding light that then manifested as a physical spear in his hand. For all its power however, the spear was cloven in two by Diablo when the Lord of Terror invaded the High Heavens. At some point after the invasion however, Imperius was apparently able to reforge the spear, and was once again able to summon it to his side at will.