Why is it players have trouble countering Loki?

I wouldn't say Loki is a suicide bomber...

In late game team fights, usually Assassinate into Aimed Strike will one shot any mage and most hunters. Then I can just pop Vanish.

Just from personal experience, if I'm going into a group of enemies, I never use Vanish, because that's my escape.

But there is so many counters to that...

Frost Breath
Serenade
Belch of the Gods
Book of Demons
Confound
Incense

Must I go on?

Don't forget that you can't always be in groups. There is a thing called the laning phase and while it's somewhat short to non-existent in the duo lane for the supports (Sub gonna know :), a roaming Loki is frightening. If he wins his lane or gets fed, there is not much you can do about it. If you always group up, you'll lost a lot of gold and experience, but if you lane alone, you are in a risk. And even with those CCs you've mentioned, he can still get you by surprise and you won't be able to always land those CCs, and sometimes he'll have blink so that you won't hear the aimed strike sound. And if you do survie aimed strike + Vanish with the help of CC, he can ult you. And if you don't have Aegis, you are dead.

I play loki all the time and tbh he's not that hard to counter. Loki doesn't do too well against many warriors without some penetration and even then it's kind of difficult. If you're a mage, get that breastplate of valor and gods like poseidon, chronos, and freya, just get a whole lot of movement speed. Trust me even with his 1, it's hard for a loki to catch up to you.

Loki is never usually good diving in team fights. Usually I'd sit around the back trying to pick off people that are a bit seperate or gods that are fleeing your team has forgot about.

Hard cc will ensure loki's death in teamfights. I usually get beads though as him if they have a ymir or something.