It can be explained using the language of basic circuit theory. DC current prefers the path of the least
resistance, but AC / RF current (1 MHz and above [0]) prefers the path of the least
impedance, which is the combination of resistance and reactance. The main source of reactance in practical circuits is parasitic inductances - all real-world components, like wires, have unwanted parasitic inductance at AC, in the same way that all conductors have unwanted parasitic resistance at DC. The farther two conductors in a loop are located apart, the greater the parasitic inductance. Thus, when you have a big loop and a small loop, current prefers to flow via the smaller loop with lower parasitic inductance - even if the end points of the big loop have a shorter "straight line" distance with a smaller DC resistance. When you have two inductors in parallel, current prefers the smaller one - just like when you have two resistors in parallel, current prefers the smaller one.
Now going from circuit theory to physics, we would see that inductance is not the property of an individual component called the "inductor", but it's the result of the magnetic field of the current around a closed loop of a circuit. Thus, every circuit must have a parasitic inductance. To a first approximation, this inductance is proportional to the loop area enclosed by the circuit. Thus, for high-speed digital / RF signal transmission, we often want to make the return conductor be as close to the signal conductor as possible [1]. This is why ground planes are often used in circuit boards, and why twisted pairs are often used in cables.
[0] The point of transition depends on many factors, including the physical size of the circuit. Sometimes it can be as low in the 100 kHz range.
[1] I ignored the issue of characteristic impedance