BUG: Using .loc raises SettingWithCopyWarning
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
# Your code here
res = pd.DataFrame({"Method": ["Alpha1", "Beta1", "Beta2", "Alpha2", "Alpha3"], "Value": [5, 6, 7, 8, 10]})
df = res[res["Value"] <= 8]
df.loc[df["Method"].str.contains("Alpha"), "Method"] = "Gamma"

display(res)
display(df)
```

#### Problem description
In the code above, we are:

1. Creating a new dataframe `res`
2. Getting a copy of the dataframe where values are less than 8 and assigning that to `df`
3. Setting values in `df` using the `.loc` indexing

Step 3 raises the `SettingWithCopyWarning`. I don't believe we are setting the value of a copy there as we are using the `.loc` indexing method, which should set values in `df`. The values are being set, but the warning is being raised. If I'm understand the warning correctly, it should not be raised.

#### Expected Output
No warning should be raised

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : 2cb96529396d93b46abab7bbc73a208e708c642e
python           : 3.7.9.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.8.0-50-generic
Version          : #56~20.04.1-Ubuntu SMP Mon Apr 12 21:46:35 UTC 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : en_US.UTF-8
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.4
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.2
setuptools       : 49.6.0.post20200814
Cython           : None
pytest           : 6.2.1
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.18.1
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : None
tables           : None
tabulate         : 0.8.7
xarray           : None
xlrd             : None
xlwt             : None
numba            : 0.51.1

</details>
