Does anybody have an idea why this is not working?
Alt key in most Linux window managers doesn't work properly with blender. You can configure it in various window managers, but the easiest solution for me is to shift+alt click. It will select an edge loop, but its in a "additive mode" so it works for selecting 1 edge loop, and continues selecting edge loops as if you are shift selecting multiple items.
Sorry if this text description is confusing, but try shift+alt click on the edge loop and it should achieve what you want.
In most Linux OS's, the window action key is alt which conflics with many Blender shortcuts the most noticable of which is the alt->click edge loop short cut.
It can be harder to fix this problem than some of the other conflicting hotkeys because it isn't actually in the keyboard hotkeys menu.
In most OS's it's in the window resizing settings panel. In the cinnamon and xfce window managers, this is found in the normal settings manager or can also be found by searching for it. In the GNOME window manager, it can be found in the GNOME Tweak Tool under windows.
All you have to do is locate the window action key, or basically a drop down menu that by default has alt in it. Just change this to something like super, or in GNOME, you can change it to disable like I have it.
This has been up for awhile, but when looking for a correct answer, for me, I found that Tom's answer is correct. In my case, I am using Arch Linux with a xfce desktop. So to extend on Tom's answer, I found the fix by going to Settings > Window Manager Tweaks > Accessibility (tab): Here there is a drop down "Key used to grab and move windows". I switched it from Alt to Super and the problem was fixed.