In the Montage itself, make sure you have a Section for the animation you want to loop.
In the Section area, click the track for that section, then click the button for that same Section. This will tell that Section that it is supposed to loop. You can do this with one or more animations.
So here we have a string of animations defining a swinging weapon. We want the Swing1 and Swing2 sections to loop until we let go of the mouse button. So in the Sections area, we choose the track for Swing1, then click the green Swing2 button. Then click the newly added Swing2 in that track, and click the green Swing1 button to add Swing1 again. Montage detects the repetition and turns that Section into a looping one. Now, whenever you call that section to play, it loops automatically, playing Swing1, then Swing2, then Swing1 again, and so on.