You must have affiliates that allow you to send players to them. Some affiliated clubs are simply for commercialization etc. (E.g. Chelsea and LA Galaxy) To find this out go onto the club's main page then to 'information' tab and to 'affiliated clubs' and this will give a brief description of the affiliation. If you don't have clubs that allow you to send players on loan, ask the board. Then go onto the selected player, the 'squad' drop-down and 'move to affiliate'. That should do it!