“Loft” only works with closed sketches, in your case these must be circles, not rings. If you make two cylinders, select the opposite surfaces and loft will work. Then use the “shell” command.
I intentionally made the pipes not only with different diameters, but also with different wall thicknesses. With this configuration, Loft + Shell won’t give the desired result. This approach, however, allows you to model almost any shape.