I think a better question is, "Where do players keep their off hand weapon?" It disappears. That's worse than magnetism.
The better question is where do they keep anything but equipped armor and primary weapon?
Do they keep 'em in their stomach?
@OP: in real life, a greatsword should be put in its sheath, or at least there's some kind of ring or something that holds it, just like what happens to the primary weapon. As for the others, I have no idea