The loop serves as an RF choke, and acts to reduce common mode current. This will assist in reducing the tendency of the coax to act as an active part of the antenna, which affects both transmission and reception.
If you really want to get into the technical explanation, see this PDF article: http://audiosystemsgroup.com/NCDXACoaxChokesPPT.pdf
As I use 1/2" heliax, I can't create a loop, but then heliax obviates the need for a common mode choke anyway.
To see many images of such coax chokes in action, see here:
https://www.bing.com/images/search?q=coax+loop+choke&id=2F362EF35CC88DA2316C4C069F5E278D0AA1C188&FORM=IQFRBA