Due to the way FileMaker needs to evaluate chains of relationships, it cannot allow a relationship that creates a "loop" in the relationship graph.
You'll need to use the duplicate button to create a new occurrence of one of the two table occurrences that you want to link. You can let FileMaker choose for you or you can duplicate one of the table occurrences and then do the link yourself.
Two links with more info on this subject:
Table Occurrences: Tutorial: What are Table Occurrences?