Micro- and nanoscale optical or microwave cavities are used in a wide range of classical applications and quantum science experiments, ranging from precision measurements, laser technologies to quantum control of mechanical motion. The dissipative photon loss via absorption, present to some extent in any optical cavity, is known to introduce thermo-optical effects and thereby impose fundamental limits on precision measurements. Here, we theoretically and experimentally reveal that such dissipative photon absorption can result in quantum feedback via in-loop field detection of the absorbed optical field, leading to the intracavity field fluctuations to be squashed or antisquashed. A closed-loop dissipative quantum feedback to the cavity field arises. Strikingly, this modifies the optical cavity susceptibility in coherent response measurements (capable of both increasing or decreasing the bare cavity linewidth) and causes excess noise and correlations in incoherent interferometric optomechanical measurements using a cavity, that is parametrically coupled to a mechanical oscillator. We experimentally observe such unanticipated dissipative dynamics in optomechanical spectroscopy of sideband-cooled optomechanical crystal cavitiess at both cryogenic temperature (approximately 8 K) and ambient conditions. The dissipative feedback introduces effective modifications to the optical cavity linewidth and the optomechanical scattering rate and gives rise to excess imprecision noise in the interferometric quantum measurement of mechanical motion. Such dissipative feedback differs fundamentally from a quantum nondemolition feedback, e.g., optical Kerr squeezing. The dissipative feedback itself always results in an antisqueezed out-of-loop optical field, while it can enhance the coexisting Kerr squeezing under certain conditions. Our result applies to cavity spectroscopy in both optical and superconducting microwave cavities, and equally applies to any dissipative feedback mechanism of different bandwidth inside the cavity. It has wide-ranging implications for future dissipation engineering, such as dissipation enhanced sideband cooling and Kerr squeezing, quantum frequency conversion, and nonreciprocity in photonic systems.