Consider a spanning tree of $G$. Then adding your edge $e$ creates a cycle. Removing any _other_ edge of this cycle creates a spanning tree containing $e$. Hence there is no other edge in the cycle, which means that the edge must be a _loop_.
Consider a spanning tree of $G$. Then adding your edge $e$ creates a cycle. Removing any _other_ edge of this cycle creates a spanning tree containing $e$. Hence there is no other edge in the cycle, which means that the edge must be a _loop_.