This is a phrase that you tell people when you want them to try something new. For example, if your friend has never been skiing before and can't decide if he wants to go on a ski trip with you, ask him:

Come on! What do you have to lose? If you don't like it, you can just hang out in the hot tub.

Asking "What do you have to lose?" is a way to suggest that the things your friend is worried about aren't very big problems. So it's like saying "Don't worry about it!"

You can also say "What have you got to lose?". It means the same thing, but is a bit more casual.