Kotlin, 67 bytes

while(true)"|/-\\".map{print("\rLoading... $it");Thread.sleep(250)}

Fairly self explanatory, using \r to clear the line and taking advantage of Kotlin's awesome string interpolation.

Kotlin, 67 66 bytes

while(1>0)"|/-\\".map{print("\rLoading... $it");Thread.sleep(250)}

Fairly self explanatory, using \r to clear the line and taking advantage of Kotlin's awesome string interpolation.

EDIT: Saved 1 byte thanks to @mEQ5aNLrK3lqs3kfSa5HbvsTWe0nIu by changing while(true) to while(1>0)