Noodel, noncompeting 24 bytes

Cannot compete because Noodel was born after the challenge.

”|gAĖọẸ.?a5‘|/-\⁺ʂḷạÇḍ/4

Try it:)

How it works

”|gAĖọẸ.?a5              # Creates a compressed string that is "Loading...¤" that is decompressed and placed into the pipe.
           ‘|/-\         # Creates a character array ["|", "/", "-", "\"]
                ⁺ʂ       # Adds two items in the pipe which will add the string to each character in the array. The 'ʂ' forces it to prepend rather than append.
                  ḷ      # Unconditionally Loop everything up until a new line or end of program.
                   ạ     # Basic animation, iterates through an object moving to the next index every call on that object and returns what is at that index.
                    Ç    # Clears the screen then prints what is in the front of the pipe and dumps what was displayed.
                     ḍ/4 # Delays for the specified amount of time (/4 => 1/4 => 0.25s)

Stepping The Pipe

-->
--> "Loading...¤"
--> ["|", "/", "-", "\"], "Loading...¤"
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]
Loop ----------------------------------------------------------------------------------------
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]
--> "Loading...¤|", ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:0>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:0>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:0>
Loop ----------------------------------------------------------------------------------------
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:0>
--> "Loading...¤/", ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:1>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:1>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:1>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:1>
Loop ----------------------------------------------------------------------------------------
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:1>
--> "Loading...¤-", ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:2>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:2>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:2>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:2>
Loop ----------------------------------------------------------------------------------------
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:2>
--> "Loading...¤\", ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:3>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:3>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:3>
--> ["Loading...¤|", "Loading...¤/", "Loading...¤-", "Loading...¤\"]<frame:3>