how to handle bash * matching when there are no matches?

Put this magic incantation before the for statement:

shopt -s nullglob

(documentation)

The nullglob option (@kfmfe04's answer) is best if you are using bash (not a brand-X shell), and don't have to worry about nullglob changing/breaking anything else. Otherwise, you can use this (slightly messier) option:

for txt in *.txt
do
  [ -e "$txt" ] || continue
  echo "loading data from $txt"
done

This silently skips files that don't exist (mainly "*.txt" if there were no matches, but possibly also files that were deleted between when the for generated the list and when the loop got to them...)