Why are loops faster than recursion?
The reason that loops are faster than recursion is easy.
A loop looks like this in assembly.

mov loopcounter,i
dowork:/do work
dec loopcounter
jmp_if_not_zero dowork


A single conditional jump and some bookkeeping for the loop counter.

Recursion (when it isn't or cannot be optimized by the compiler) looks like this:

start_subroutine:
pop parameter1
pop parameter2
dowork://dowork
test something
jmp_if_true done
push parameter1
push parameter2
call start_subroutine
done:ret


It's a lot more complex and you get at least 3 jumps (1 test to see if were done, one call and one return).
Also in recursion the parameters need to be set up and fetched.
None of this stuff is needed in a loop because all the parameters are set up already.  

Theoretically the parameters could stay in place with recursion as well, but no compilers that I know of actually go that far in their optimization.  

Differences between a call and a jmp
A call-return pair is not very much more expensive then the jmp. The pair takes 2 cycles and the jmp takes 1; hardly noticeable.
In calling conventions that support register parameters the overhead for parameters in minimal, but even stack parameters are cheap as long as the CPU's buffers do not overflow.
It is the overhead of the call setup dictated by the calling convention and parameter handling in use that slows down recursion.
This is very much implementation dependent.  

Example of poor recursion handling
For example, if a parameter is passed that is reference counted (e.g. a non const managed type parameter) it will add a 100 cycles doing a locked adjustment of the reference count, totally killing performance vs a loop.
In languages that are tuned to recursion this bad behavior does not occur.  

CPU optimization
The other reason recursion is slower is that it works against the optimization mechanisms in CPU's.
Returns can only be predicted correctly if there are not too many of them in a row. The CPU has a return stack buffer with a (few) handfuls of entries. Once those run out every additional return will be mispredicted causing huge delays.
On any CPU that uses a stack return buffer call based recursion that exceeds the buffer size is best avoided.  

About trivial code examples using recursion
If you use a trivial example of recursion like Fibonacci number generation, then these effects do not occur, because any compiler that is 'knows' about recursion will transform it into a loop, just like any programmer worth his salt would.
If you run these trivial examples in a enviroment that does not optimize properly than the call stack will (needlessly) grow out of bounds.  

About tail recursion
Note that sometimes the compiler optimizes away tail recursion by changing it into a loop. It is best to only rely on this behavior in languages that have a known good track record in this regard.
Many languages insert hidden clean up code before the final return preventing the optimization of tail recursion.  

Confusion between true and pseudo recursion
If your programming environment turns your recursive source code into a loop, then it is arguably not true recursion that is being executed.
True recursion requires a store of breadcrumbs, so that the recursive routine can trace back its steps after it exits.
It is the handling of this trail that makes recursion slower than using a loop. This effect is magnified by current CPU implementations as outlined above.  

Effect of the programming environment
If your language is tuned towards recursion optimization then by all means go ahead and use recursion at every opportunity. In most cases the language will turn your recursion into some sort of loop.
In those cases where it cannot, the programmer would be hard pressed as well. 
If your programming language is not tuned towards recursion, then it should be avoided unless the domain is suited towards recursion.
Unfortunately many languages do not handle recursion well.  

Misuse of recursion
There is no need to calculate the Fibonacci sequence using recursion, in fact it is a pathological example.
Recursion is best used in languages that explicitly support it or in domains where recursion shines, like the handling of data stored in a tree.  


  I understand any recursion can be written as a loop  


Yes, if you are willing to put the cart before the horse.
All instances of recursion can be written as a loop, some of those instances require you to use an explicit stack like storage.
If you need to roll your own stack just to turn recursive code into a loop you might as well use plain recursion.
Unless of course you've got special needs like using enumerators in a tree structure and you don't have proper language support.