Nonlocal gravity has been shown to provide a phenomenologically viable infrared modification of GR. A natural question is whether the required nonlocality can emerge from perturbative quantum loop corrections due to light particles. We show that this is not the case. For the value of the mass scale of the non-local models required by cosmology, the perturbative form factors obtained from the loop corrections, in the present cosmological epoch, are in the regime where they are local. The mechanism behind the generation of the required nonlocality must be more complex, possibly related to strong infrared effects and non-perturbative mass generation for the conformal mode.