As an addition to Bhargav's answer, I figured I would mention one other option:
while True:
try:
x = int(input("Write a number: "))
except ValueError:
print("You must write a number: ")
else:
break
The try statement executes. If an exception is thrown, the except block takes over, and it's run. The else block is executed if no exception is thrown. And don't worry, if the except block ever executes, the else block won't be called. :)
Also, you should note that this answer is considered to be more Pythonic, while Bhargav's answer is arguably easier to read and more intuitive.