Anomaly detection is a ubiquitous and challenging task relevant across many disciplines. With the vital role communication networks play in our daily lives, the security of these networks is imperative for smooth functioning of society. To this end, we propose a novel self-supervised deep learning framework CAAD for anomaly detection in wireless communication systems. Specifically, CAAD employs contrastive learning in an adversarial setup to learn effective representations of normal and anomalous behavior in wireless networks. We conduct rigorous performance comparisons of CAAD with several state-of-the-art anomaly detection techniques and verify that CAAD yields a mean performance improvement of 92.84%. Additionally, we also augment CAAD enabling it to systematically incorporate expert feedback through a novel contrastive learning feedback loop to improve the learned representations and thereby reduce prediction uncertainty (CAAD-EF). We view CAAD-EF as a novel, holistic and widely applicable solution to anomaly detection.