Normally, shoes would be described as "too big" rather than "too loose." If you want to use "loose", I would use "too loose for me" for shoes, but "too loose on me" for clothes. That's what sounds right to my native ear, but any of these phrases would be understood.

Yes, I agree. You'd say 'too loose' for clothes. With shoes, you'd say 'too big for me'.

Well, you put clothes and shoes on. So if you want to describe how well an item of clothing fits, you use "on me". I agree with BusEng Ed that "big" sounds better for shoes. I'd use "loose" for things made of cloth - shirts, trousers, dresses and so on.

"too loose on me" is what is most popular, but either are perfectly fine ^^