Because your else isn't attached to anything. The if without braces only encompasses the single statement that immediately follows it.
if (choice==5)
{
System.out.println("End of Game\n Thank you for playing with us!");
break;
}
else
{
System.out.println("Not a valid choice!\n Please try again...\n");
}
Not using braces is generally viewed as a bad practice because it can lead to the exact problems you encountered.
In addition, using a switch here would make more sense.
int choice;
boolean keepGoing = true;
while(keepGoing)
{
System.out.println("---> Your choice: ");
choice = input.nextInt();
switch(choice)
{
case 1:
playGame();
break;
case 2:
loadGame();
break;
// your other cases
// ...
case 5:
System.out.println("End of Game\n Thank you for playing with us!");
keepGoing = false;
break;
default:
System.out.println("Not a valid choice!\n Please try again...\n");
}
}
Note that instead of an infinite for loop I used a while(boolean), making it easy to exit the loop. Another approach would be using break with labels.