diff --git a/asv_bench/benchmarks/io/sql.py b/asv_bench/benchmarks/io/sql.py
index fb8b7dafa0ade..c1f378e8075e9 100644
--- a/asv_bench/benchmarks/io/sql.py
+++ b/asv_bench/benchmarks/io/sql.py
@@ -38,7 +38,7 @@ def setup(self, connection):
             },
             index=tm.makeStringIndex(N),
         )
-        self.df.loc[1000:3000, "float_with_nan"] = np.nan
+        self.df.iloc[1000:3000, 1] = np.nan
         self.df["date"] = self.df["datetime"].dt.date
         self.df["time"] = self.df["datetime"].dt.time
         self.df["datetime_string"] = self.df["datetime"].astype(str)
@@ -88,7 +88,7 @@ def setup(self, connection, dtype):
             },
             index=tm.makeStringIndex(N),
         )
-        self.df.loc[1000:3000, "float_with_nan"] = np.nan
+        self.df.iloc[1000:3000, 1] = np.nan
         self.df["date"] = self.df["datetime"].dt.date
         self.df["time"] = self.df["datetime"].dt.time
         self.df["datetime_string"] = self.df["datetime"].astype(str)
@@ -117,7 +117,7 @@ def setup(self):
             },
             index=tm.makeStringIndex(N),
         )
-        self.df.loc[1000:3000, "float_with_nan"] = np.nan
+        self.df.iloc[1000:3000, 1] = np.nan
         self.df["date"] = self.df["datetime"].dt.date
         self.df["time"] = self.df["datetime"].dt.time
         self.df["datetime_string"] = self.df["datetime"].astype(str)
@@ -164,7 +164,7 @@ def setup(self, dtype):
             },
             index=tm.makeStringIndex(N),
         )
-        self.df.loc[1000:3000, "float_with_nan"] = np.nan
+        self.df.iloc[1000:3000, 1] = np.nan
         self.df["date"] = self.df["datetime"].dt.date
         self.df["time"] = self.df["datetime"].dt.time
         self.df["datetime_string"] = self.df["datetime"].astype(str)
diff --git a/doc/source/whatsnew/v2.0.0.rst b/doc/source/whatsnew/v2.0.0.rst
index 5aa753dffcf7f..0004bc92b349e 100644
--- a/doc/source/whatsnew/v2.0.0.rst
+++ b/doc/source/whatsnew/v2.0.0.rst
@@ -256,6 +256,7 @@ Removal of prior version deprecations/changes
 - Enforced disallowing passing an integer ``fill_value`` to :meth:`DataFrame.shift` and :meth:`Series.shift`` with datetime64, timedelta64, or period dtypes (:issue:`32591`)
 - Enforced disallowing a string column label into ``times`` in :meth:`DataFrame.ewm` (:issue:`43265`)
 - Enforced disallowing a tuple of column labels into :meth:`.DataFrameGroupBy.__getitem__` (:issue:`30546`)
+- Enforced disallowing setting values with ``.loc`` using a positional slice. Use ``.loc`` with labels or ``.iloc`` with positions instead (:issue:`31840`)
 - Removed setting Categorical._codes directly (:issue:`41429`)
 - Enforced :meth:`Rolling.count` with ``min_periods=None`` to default to the size of the window (:issue:`31302`)
 - Renamed ``fname`` to ``path`` in :meth:`DataFrame.to_parquet`, :meth:`DataFrame.to_stata` and :meth:`DataFrame.to_feather` (:issue:`30338`)
diff --git a/pandas/core/indexes/base.py b/pandas/core/indexes/base.py
index 7571525363447..d8300bb29c274 100644
--- a/pandas/core/indexes/base.py
+++ b/pandas/core/indexes/base.py
@@ -4189,12 +4189,9 @@ def is_int(v):
         elif is_positional:
             if kind == "loc":
                 # GH#16121, GH#24612, GH#31810
-                warnings.warn(
-                    "Slicing a positional slice with .loc is not supported, "
-                    "and will raise TypeError in a future version.  "
+                raise TypeError(
+                    "Slicing a positional slice with .loc is not allowed, "
                     "Use .loc with labels or .iloc with positions instead.",
-                    FutureWarning,
-                    stacklevel=find_stack_level(),
                 )
             indexer = key
         else:
diff --git a/pandas/tests/indexing/test_loc.py b/pandas/tests/indexing/test_loc.py
index 3490d05f13e9d..88ae431fb1baf 100644
--- a/pandas/tests/indexing/test_loc.py
+++ b/pandas/tests/indexing/test_loc.py
@@ -2795,16 +2795,13 @@ def test_loc_mixed_int_float():
     assert result == 0
 
 
-def test_loc_with_positional_slice_deprecation():
+def test_loc_with_positional_slice_raises():
     # GH#31840
     ser = Series(range(4), index=["A", "B", "C", "D"])
 
-    with tm.assert_produces_warning(FutureWarning):
+    with pytest.raises(TypeError, match="Slicing a positional slice with .loc"):
         ser.loc[:3] = 2
 
-    expected = Series([2, 2, 2, 3], index=["A", "B", "C", "D"])
-    tm.assert_series_equal(ser, expected)
-
 
 def test_loc_slice_disallows_positional():
     # GH#16121, GH#24612, GH#31810
@@ -2822,15 +2819,15 @@ def test_loc_slice_disallows_positional():
         with pytest.raises(TypeError, match=msg):
             obj.loc[1:3]
 
-        with tm.assert_produces_warning(FutureWarning):
-            # GH#31840 deprecated incorrect behavior
+        with pytest.raises(TypeError, match="Slicing a positional slice with .loc"):
+            # GH#31840 enforce incorrect behavior
             obj.loc[1:3] = 1
 
     with pytest.raises(TypeError, match=msg):
         df.loc[1:3, 1]
 
-    with tm.assert_produces_warning(FutureWarning):
-        # GH#31840 deprecated incorrect behavior
+    with pytest.raises(TypeError, match="Slicing a positional slice with .loc"):
+        # GH#31840 enforce incorrect behavior
         df.loc[1:3, 1] = 2