Pass sep="," as an argument to print()
You are nearly there with the print statement. 
There is no need for a loop, print has a sep parameter as well as end.
>>> print(*range(5), sep=", ")
0, 1, 2, 3, 4
A little explanation
The print builtin takes any number of items as arguments to be printed. Any non-keyword arguments will be printed, separated by sep. The default value for sep is a single space.
>>> print("hello", "world")
hello world
Changing sep has the expected result.
>>> print("hello", "world", sep=" cruel ")
hello cruel world
Each argument is stringified as with str(). Passing an iterable to the print statement will stringify the iterable as one argument.
>>> print(["hello", "world"], sep=" cruel ")
['hello', 'world']
However, if you put the asterisk in front of your iterable this decomposes it into separate arguments and allows for the intended use of sep.
>>> print(*["hello", "world"], sep=" cruel ")
hello cruel world
>>> print(*range(5), sep="---")
0---1---2---3---4
Using join as an alternative
The alternative approach for joining an iterable into a string with a given separator is to use the join method of a separator string.
>>>print(" cruel ".join(["hello", "world"]))
hello cruel world
This is slightly clumsier because it requires non-string elements to be explicitly converted to strings.
>>>print(",".join([str(i) for i in range(5)]))
0,1,2,3,4
Brute force - non-pythonic
The approach you suggest is one where a loop is used to concatenate a string adding commas along the way. Of course this produces the correct result but its much harder work.
>>>iterable = range(5)
>>>result = ""
>>>for item, i in enumerate(iterable):
>>>    result = result + str(item)
>>>    if i > len(iterable) - 1:
>>>        result = result + ","
>>>print(result)
0,1,2,3,4