An analytic expression is obtained for the confinement loss of model anti-resonant fibres consisting of concentric regions of air and glass. Hankel functions in the regions surrounding the air core are approximated by their asymptotic form; apart from this, results are correct to leading order in the small parameter 1/(k0rc), where rc is the core radius and k0 the free space wavenumber. The results extend and generalise previous solutions for propagation in a hollow glass tube and a thin-walled capillary. Comparison with exact numerical calculations shows that the analytic expression provides an accurate description of the loss, including its dependence on the mode, the core radius and the widths of the surrounding glass and air regions. The relevance of the results to the recent generation of hollow-core, anti-resonant photonic crystal fibres is discussed.