See CaptureSetup/NetworkMedia for Wireshark capturing support on various platforms. You will only see it if you capture on the 'loopback interface', if there is such an interface and it is possible to capture on it see the next section for information on the platforms on which you can capture on the 'loopback interface'. This means that you will not see it if you are trying to capture on, for example, the interface device for the adapter to which the destination address is assigned. If you are trying to capture traffic from a machine to itself, that traffic will not be sent over a real network interface, even if it's being sent to an address on one of the machine's network adapters. The following will explain capturing on loopback interfaces a bit.
