Chinese loess deposits are some of the best continental records of palaeoclimatic and palaeoenvironmental changes in the late Cenozoic. Many investigations have shown that the long-time climate variations recorded by the loess-paleosol sequences can be correlated with global environmental changes. However, there are still some foundational questions concerning loess deposition that are not well answered, casting uncertainty on many previous conclusions, especially high-resolution palaeoclimatic records. In this study, three typical loess-paleosol sections spanning the last glacial cycle were closely sampled for optically stimulated luminescence (OSL) dating and palaeoclimate interpretation along a northwest-southeast transect in Chinese Loess Plateau. Results show that there is a 4–5 ka hiatus in the typical loess deposits, and as a consequence suggests that the loess record is not continuous over millennial time scales. As such, previous conclusions on climatic and environmental changes at millennial-centennial time scale, reconstructed through the loess record, should be reinvestigated. The erosional hiatus may be forced by a period with strengthened East Asian winter monsoon and the less vegetation cover in the investigated sites.