Our Border has just a little bit of hair loss on her back in the last week. She's 4.

Interestingly we have been out walking over the last 2 weekends with a couple of WFT's one of which has a bad hair loss problem.

Can something like this caught from another dog?

Difficult to say without seeing the problem, could be mange but that would itch, could be fleas and the dog has pulled the hair out, could be normal loss, could be a hormonal problem or it could be over enthusiastic plucking. If you are at all worried then take the dog to a vet.