Simple, you lose energy and get disoriented when changing direction. When flying in a circle, you're constantly changing direction and at an angle to the ground. So you are consistently being disoriented as well. So you're constantly on the throttle or have to rethrottle up to gain altitude doesn't make for constant holding pattern.

planes uses air pressure from the air below to lift using their wings. merely having the plane tilted to one side makes it so there's less air pressure holding the extremities of the wings, and less so on the wing whose end has the least altitude. the result is that the tilted plane slowly yaws continuously more to the side it's tilted to, which causes more roll, causing more changes to the force on the wings, causing more yaw, on a feedback loop that ultimately makes the plane lose altitude.

combine that with the plane continuously pointing its wings upwards relative to itself, and you get a constant air pressure that is pointing more directly to the bottom of the plane and less efficiently to the rotors and turbines whose job is to propel the plane forwards, which then makes the plane lose speed.