urxvt - tab expand environment variables
What you describe sounds like a shell issue, and nothing that has to do with Urxvt/Gnome Terminal. Probably Bash is used in both cases - perhaps you are missing the bash-completion package or an equivalent in your current setup (it seems like you have left Ubuntu, but you don't say what you use now, so I can't give more specific tips). Try installing that.
This is about direxpand option. $ shopt -s direxpand and $FOO_PATH/ will be expanded by TAB.