Unable to terminate "void loop"
The implied question is how to turn off the Tx LED, which has already been answered and is probably the answer you're looking for. But the question you asked is how to end the loop() function. Not to be pedantic but to clarify the use of loop, the simple answer is, "you can't". loop() is called from a forever loop in the C/C++ main program, function main(), so returning from it, either with a return statement or by reaching the final close } causes loop() to be called again. This is intentional as the main() function in an embedded system is never supposed to return, thus it must keep re-running the application program.

Update (since this question just reappeared on the front page, I'll add the following to my answer):

loop() reads and prints continuously. If you had wanted that code to be executed only once, you could put in setup() and leave loop() empty. Then the sketch would initialize the serial output, read an analog value, print it - once - followed by entering the empty loop() and remaining there until power-down.

A way to execute the loop function once is to write an infinite loop at the end of it, so loop() would never return and thus never be re-executed:

void loop() {

  int sensorValue = analogRead(A0);
  Serial.println(sensorValue);
  delay(1);

  while(1)
     ;
}