Group multiple entities from multiple layers keeping layers
When you Group a selection of entities from multiple layers all comes in a single layer.
In many case it should be mandatory to group those elements in a new Group but keeping the layers or at least a new layer with the original layers as "sublayers" so you can still filter objects by layer, and select all at one by selecting master layer.

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Jean-Michel Le Goff commented
Hi,
Neither one ot the other works for me.
I really need a way to manage multiple onject as a single one but with entities on multiple layers. the analogy is Blocks in DXFs and (particularly DXF-ASTM)... when you have multiple patterns in a single document.
I found tha II can mimic this either by making a artboard by pattren, but it's not really convenient... or a master layer with sublayers for the different kind of entiies... but it's not really easy to do except using script But I don't code...
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Jean-Michel, there are two closely related but slightly different requests about it:
1. Ungroup remembers layers (like InDesign) — http://illustrator.uservoice.com/forums/333657/suggestions/30991327
2. Grouping / linking objects from different layers — http://illustrator.uservoice.com/forums/333657/suggestions/34740382
Two different approaches to the problem. I’d say you mean the latter... Would you mind me merging it? With which one?