There's nothing to worry about.
As you undoubtedly know, any computer on a network (and the Internet is just a vast network) is identified by an IP address which consists of four numbers separated by dots. Your IP address, which is usually dynamically assigned by your ISP each time you connect, enables your machine to be uniquely identified - if necessary you can be traced by it.
There is one address that cannot be used by any computer in the world however, and that address is 127.0.0.1. The reason is that this IP number has been reserved as what is known as the loopback address. A loopback address tells the computer not to test its connections to another computer, but to test its own basic network setup.
Your question is an interesting example of the kind of concern that has arisen ever since personal firewalls became the rage - people see each contact as an 'attack', and worry about the consequences. The truth of course is that personal computers are almost never attacked, they have nothing worthy of a true hacker's time. If you were to be professionally attacked by a real hacker you probably wouldn't even know about it, and your firewall certainly wouldn't stop it. For some time now I haven't used a firewall, and I know of many other people who don't bother either. I'm not advocating that we all dump our firewalls and run naked into the world wide web, but consider the fact that until fairly recently nobody used them - we were all oblivious to the dozens of things that go bonk in the cyber night.
Let you firewall do what it does, and relax - the chances of your machine being attacked from out there are so slight as to be not worth worrying about.