I keep my Cordura Cover on my scope. When I unzip the objective end, I just put the cap in the padded section of the cover. There is actually a little strap or flap of fabric that you can put it in to hold it there if you take the time to do it. That said, I haven't needed to, just pushing it down into the padded cordura cover holds it really well.
I did worry about it at one point and taped some dental floss at a tether to the objective housing and to the cap. But I quickly zipped that floss into the zipper and broke the floss tether. I didn't like that option near as much.