Most of the times, animals are caught in south-east asia and exported to the destination country. Whole families afford their living through catch and sell of clown loaches. The catching procedure is simple and effective: High bamboo tubes are sank in water and used by clown loaches as a hiding place soon. In regular intervals those tubes - including the clown loaches, thinking to have hidden in a putatively save place - can be fished out. By the way, you can also use this method for your own tank!
Breeding of clown loaches is pretty difficult. Hence, clown loaches usually were only catches in wild life in early days. According to my current knowledge, clown loaches are not threatened with extinction, but are abundant in their origin areas. Still, I see wild life catches from a rather critical point of view, because I suspect a massive intervention into the eco system. What's more, a lot of clown loaches don't survive their transport.
You should instead try - and this is valid for all fish species - to create a species-appropriate aquarium and to enhance survival and breeding opportunities as best as possible. Even though you won't realize it by looking at the price, you don't buy simple goods in a pet shop, but living creatures.
Sometimes you can read about rare cases of breeding success in captivity. Most of them happen to occur accidently. Unfortunately, I don't know much about progeny of clown loaches in wild life. It is hypothesized that clown loaches migrate to other places in order to spawn. You can rearrange the vegetation, the temperature and other content of your tank to simulate a migration movement. However, because of the already described sensitivity in regard to changes of any kind, this idea seems to me not very helpful. To use unobtrusive, gradual changes is a better idea to encourage breeding in your own aquarium.
According to newer information clown loaches seem to be successfully breeded in Eastern Europe. Meanwhile, the number of animals of breeded origin exceeds the number of clown loaches caught in wild life. Please mind that breeding often is stimulated through hormones and other additives and takes a lot of water. This in turn sounds also not ecologically worthwhile.