We present the discovery, classification, and extensive panchromatic (from radio to X-ray) follow-up observations of PTF11qcj, a supernova (SN) discovered by the Palomar Transient Factory (PTF). Our observations with the Karl G. Jansky Very Large Array show that this event is radio-loud: PTF11qcj reached a radio peak luminosity comparable to that of the famous gamma-ray- burst-associated SN 1998bw (L $_5 GHz$ ≈ 10$^29$ erg s$^-1$ Hz$^-1$). PTF11qcj is also detected in X-rays with the Chandra Observatory, and in the infrared band with Spitzer. Our multi-wavelength analysis probes the SN interaction with circumstellar material. The radio observations suggest a progenitor mass-loss rate of åisebox-0.5ex 10$^-4$ M $_☉$ yr$^-1$ × (v$_w$ /1000 km s$^-1$), and a velocity of ≈0.3-0.5 c for the fastest moving ejecta (at ≈10 days after explosion). However, these estimates are derived assuming the simplest model of SN ejecta interacting with a smooth circumstellar wind, and do not account for possible inhomogeneities in the medium and asphericity of the explosion. The radio data show deviations from such a simple model, as well as a late-time re-brightening. The X-ray flux from PTF11qcj is compatible with the high- frequency extrapolation of the radio synchrotron emission (within the large uncertainties). A light echo from pre-existing dust is in agreement with our infrared data. Our pre-explosion data from the PTF suggest that a precursor eruption of absolute magnitude M$_r$ ≈ -13 mag may have occurred ≈2.5 yr prior to the SN explosion. Overall, PTF11qcj fits the expectations from the explosion of a Wolf-Rayet star. Precursor eruptions may be a feature characterizing the final pre-explosion evolution of such stars.