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)