We present a detailed bifurcation analysis of desynchronization transitions in a system of two coupled phase oscillators with delay. The coupling between the oscillators combines a delayed self-feedback of each oscillator with an instantaneous mutual interaction. The delayed self-feedback leads to a rich variety of dynamical regimes, ranging from phase-locked and periodically modulated synchronized states to chaotic phase synchronization and desynchronization. We show that an increase of the coupling strength between oscillators may lead to a loss of synchronization. Intriguingly, the delay has a twofold influence on the oscillations: synchronizing for small and intermediate coupling strength and desynchronizing if the coupling strength exceeds a certain threshold value. We show that the desynchronization transition has the form of a crisis bifurcation of a chaotic attractor of chaotic phase synchronization. This study contributes to a better understanding of the impact of time delay on interacting oscillators.