Tahir, the profiles that you're lofting need to be closed. You can try editing the inividual sketches and using the 'check sketch for feature tool' to find the breaks in the profile and heal them using the trim tool, but I'd recommend changing your import settings so that the sketch endpoints merge across small gaps. Either way, you're goal is going to be to have closed profiles for your loft.
Having said that, your profiles contain too many vertices. Your loft is going to bog down your machine and have lots of twists to sort out. You should trace over your profiles with sketch entities that have some design intent driving the final shape them as opposed to loops made of sticks.
If you just want the general shape of the part you scanned, then try generating your scan as a point cloud or mesh and import it as an STL.
Do not use your imported DXF or IGES to create features. Instead, use them as templates to create your own sketches and then create features from those.
Creating your sketches over imported geometry will allow you to adjust for inconsistencies in imported geometry, and will help you avoid trouble.