Both loop/recur and reduction/transduce via IReduce are similar in doing looping without consuming stack, building up an accumulated value, and not allocating memory. reduce/transduce always take an input collection - if that collection can be traversed via internal reduction or sequential iteration, then I would favor using reduce over loop/recur.
Take for example a vector, which is possibly the most interesting case with the most options. In a loop/recur how are you going to walk through the vector's elements? The most obvious way is to using the sequential functions like first/next/rest. Importantly, rest is going to give you a sequence over the vector, not the vector itself, which will incur extra cost. That said, the vector sequence is really fast - as much of the time it's just walking through an internal array node bumping an index. Or you might do indexed lookups into the vector ala nth. Your "iteration" has less overhead but on each index you must re-traverse the nodes of the vector.
Compare to a vector doing internal reduce - this is effectively an internal iteration that walks through the nodes of the vector data structure, evaluating the reduction function on each item it finds. There is no seq overhead and no re-traversal.
It's hard for me to say which of these is fastest without benchmarking a particular case, and it will matter a lot how many things are in the vector (as that affects the cost of lookup by index). My suspicion is that usually the cost for any of these is dominated by the function being applied per element, not by the iteration method.
loop/recur is beneficial in cases where the iteration is not based on traversing a collection (could be incrementing a counter, evaluating a function, iterating an external resource, etc), or traverses multiple collections in parallel, or any other "not sequentially traversing a collection" use case. Additionally, loop/recur is the only way in Clojure to get a loop that retains long or double primitives throughout the loop so for hot math loops you should definitely prefer loop/recur.
Alex