Admitted to a masters in Cambridge - no scholarship! I was admitted to the MPhil masters program in "Advanced Computer Science" at Cambridge, UK, but unfortunately I wasn't offered a scholarship. I browsed the internet a bit, but as I'm not from England (though from the EU) I couldn't find any possibility of loans or studentships, that would cover the whopping 20000£ needed to cover fees and living costs for the 9 months the program takes.

Does anyone here have any experience what possibility for funding exist ? Cambridge, as it seems, of at most grant me a bursary which does not nearly cover theses costs.

Would it be a good idea at all to take a loan (supposing that that's possible) ?
Here is the actual list of funding sources that may be available to you. 
http://www.graduate.study.cam.ac.uk/finance/funding

But you should give their financial aid office a call. They're the definitive source for this kind of information, and they should be able to give you advice that is not listed on their web site. 

Since you're in an EU country, your tuition should be comparable to what the British people pay. And because you're coming from an EU country, funds may be available to you solely because of that reason. And yes, loans can be a good investment, especially for what you'll be studying. 

Obviously, if you were studying something like Archeology or Art History, I would try to steer you away from taking loans.