Question: I am travelling to Bangalore via Abu Dhabi from London. 
Can i get liquor from duty free shop in Heathrow? Will it be confiscated in Abu Dhabi?

Answer: 
There's no prohibition on transiting through the UAE with alcohol; non-Muslim visitors can even bring in 4 liters past customs. It's even sold on board your Etihad flight and in the duty free in Abu Dhabi. You will have no problem, provided that the duty free places your purchase in one of the plastic security bags (otherwise you would be limited to carrying 100mL through security).
According to IATA <https://www.iatatravelcentre.com/AE-United-Arab-Emirates-customs-currency-airport-tax-regulations-details.htm#Import%20regulations>, free import of up to 4 liters of any kind of alcohol is permitted by Abu Dhabi for non-muslim passengers only.

As stated by @Michael Hampton, the bottle(s) will need to be carried in the duty free bag in which they are sealed at the point of purchase.