We unveil theoretically the bifurcations to chaotic low-frequency fluctuations (LFF) in a laser diode with phase-conjugate feedback (PCF). LFF occur from a chaotic itinerancy among destabilized limit-cycle attractors that correspond to the external-cavity modes (ECMs) of the PCF laser system and with a directional motion toward a self-pulsating dynamics of increasing frequency and larger output power. When increasing the feedback strength, the frequency of the fast-pulsing dynamics changes about a multiple of the external-cavity frequency, which is a unique feature of LFF in a laser diode with PCF.