Loki was gorgeous indeed. Nobody can deny the fact as everyday, a lot of girls followed him everywhere he go. Lucy on the other hand couldn't help herself but to think why does Loki avoids her. Although Gray noticed many times that Loki watched Lucy from a far, but it was not his business anyway.
But after the incident when Loki's true identity is revealed, they became attached to each other. So close that even Happy grins when he saw them together.