As @phg points out, you are essentially constructing an infinite list, and actually evaluating it causes the loop error. A simple implementation to resolve this issue is to define a helper function which takes an additional parameter - a list to store all the inputs read in from the screen, like so:
readInteger :: IO ()
readInteger = readInteger' []
where
readInteger' x = do
putStrLn "insert a number: "
num<-getLine
if ((read num :: Int) == 0)
then print $ ordList x
else readInteger' $ (read num :: Int):x
where ordList ::[Int]->[Int]
ordList [] = []
ordList xs = sort xs
Please note that the above is essentially just an implementation of @phg's answer, but with some changes to your original logic. Firstly, since 0 is a sentinel value, we shouldn't be appending that to our list. Second, we do not need to sort the list every single time we are adding a value to it. Sorting once at the time of printing/passing to another function is sufficient.
Demo
If you want to read an unspecified number of integers without prompting for user input and cut it off the moment you encounter 0, you would probably do well to use getContents, which will read everything from the standard input as a single string, lazily.
Then, it is a simple matter of parsing it to a list of numbers and doing what you want with it, like so:
readIntegers :: ()
readIntegers = do
a <- getContents
let b = ordList $ takeWhile (/= 0) $ map (\x -> read x :: Int) $ words a
mapM (putStrLn . show) b
where ordList ::[Int]->[Int]
ordList [] = []
ordList xs = sort xs