You can use Range and friends:
if (((1 until 10 by 2) intersect (1 until 10 by 3)).isEmpty) System.out.println("no intercept")
This is not related to the nested loop (which you refer to in the header), but a much more idiomatic way to get the same result in Scala.
Edit: as Rex Kerr points out, the version above does not display a message each time, but the following:
(1 until 10 by 2) filterNot (1 until 10 by 3 contains _) foreach ( _ => println("no intercept") )
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