This may be related to #3950 though my symptoms are a bit different. In that issue, the tzinfo was lost during the creation of a MultiIndex array. In my case, I'm able to create a MultiIndex array with intact tzinfo, but tzinfo gets lost when I concatenate one or more such arrays.
Here's an example. Note the lack of tzinfo in the final line:
In [47]: import pandas
In [48]: import datetime
In [49]: import pytz
In [50]: array = pandas.DataFrame({'a':[datetime.datetime(2014,1,1,tzinfo=pytz.UTC), datetime.datetime(2014,1,2,tzinfo=pytz.UTC)], 'b':[1, 2], 'c':[3, 4]})
In [51]: a2 = array.set_index('a')
In [52]: a3 = array.set_index(['a', 'b'])
In [53]: a2_concatenated = pandas.concat([a2])
In [54]: a3_concatenated = pandas.concat([a3])
In [55]: array.iloc[0,0]
Out[55]: datetime.datetime(2014, 1, 1, 0, 0, tzinfo=<UTC>)
In [56]: a2.index[0]
Out[56]: Timestamp('2014-01-01 00:00:00+0000', tz='UTC')
In [57]: a3.index[0]
Out[57]: (Timestamp('2014-01-01 00:00:00+0000', tz='UTC'), 1)
In [58]: a2_concatenated.index[0]
Out[58]: Timestamp('2014-01-01 00:00:00+0000', tz='UTC')
In [59]: a3_concatenated.index[0]
Out[59]: (Timestamp('2014-01-01 00:00:00', tz=None), 1)
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