The Loop of Henle is part of the nephron, so we just need to identify which organ contains nephrons.
So the correct answer is Kidney.
A different way to reach the same conclusion is to think about the anatomical location and embryological origin of the organs listed, since the Loop of Henle is specifically part of the urinary system's excretory tubule network.
Tracing the developmental origin of each organ leads to the same one associated with the urinary system.
Hence, the correct answer is Kidney.