You’ve tried on a default cube? Maybe what you’re trying to alt-click select isn’t an edge loop, because the default cube doesn’t have edge loops.
For the alt-click to work you have to select edges that are connected end-to-end in a line. When you hit a pole, like on the cube where the edge ends on a vertex connected to three edges, then the loop selection stops there.
You can read more on it with examples here: https://docs.blender.org/manual/en/latest/modeling/meshes/selecting/loops.html
