First of all, while finding a solution for this , I discovered a bug in the Key Editor, but the following does work o.k. if you open the In-Place Editor for that track in the Project window…, but you’ll need to temporarily move the MIDI Part on to its own MIDI track, to avoid other Parts on the same track getting unintentionally deleted also.
You need to create a simple Macro…
Open the Key Commands dialog (from the File menu)
“Show Macros” (bottom of Dialog window).
New Macro
Give it a useful name (e.g. “Delete MIDI outside Loop”)
Upper section, navigate to Edit - Select in Loop
Lower section, Add Command
Upper section, navigate to Edit - Invert Selection
Lower section, Add Command
Upper section, navigate to Edit - Delete
Lower Section, Add command
Hit “O.K.”
You can now re-open the Key Commands dialog , and assign a Key command to this Macro, if you wish.
(for info, it is currently the “Invert Selection” command, that is not working, for Notes, in the Key (or Drum) Editors. )
Hopefully, when this bug is fixed (used to be o.k. in Cubase 6.5.5), you’ll be able to use this Macro in the Key Editor, without having to worry about other Parts on the same track 
EDIT; Steve posted while I was writing this… but my comment about the bug still applies
)