This paper demonstrates that end-to-end active measurements can give invaluable insights into the nature and characteristics of packet loss in cellular networks. We conduct a large-scale measurement study of packet loss in four UMTS networks. The study is based on active measurements from hundreds of measurement nodes over a period of one year. We find that a significant fraction of loss occurs during pathological and normal Radio Resource Control (RRC) state transitions. The remaining loss exhibits pronounced diurnal patterns and shows a relatively strong correlation between geographically diverse measurement nodes. Our results indicate that the causes of a significant part of the remaining loss lie beyond the radio access network.