The most common cause of a loose steering wheel are worn tie rods or worn out Pitman arm if you have one.
Some vehicles such as trucks and vans have a Pitman arm along with the tie rods and some vehicles such as cars may only have the tie rods.
If your vehicle has tie rods and the pitman arm the loose steering wheel feeling can be caused by the worn pitman arm or the tie rods.
A loose steering wheel is not good and you should get the steering checked out by a mechanic if you're unsure how to do so yourself.
Letting the steering wheel stay loose could cause a wreck eventually that could turn deadly.
If the tie rods are bad and they break then you'll loose complete steering and could roll the vehicle or if the pitman arm gets too bad you could also lose your steering and veer into the lane of oncoming traffic.