But how to make a lot of requests in loop?
There are a couple of ways to do this.
One is to start the connection at the beginning of loop(), and do all the processing before you exit it. Most (all??) of the Client examples do this.
If you have other things to do that are time-sensitive, though, you need to take a different approach to avoid delays while talking with the server. It's a little more complicated, but "no pain, no gain".
What you need to do is declare a global buffer, fill it up by checking available() every pass through loop(), and acting when it fills up. You also need to track the state of the connection: whether it's been initiated, is sending or receiving, etc. I don't know whether there's an example available online, but you should try using the phrase "state machine" along with Ethernet-related terms to hunt for it.