When you're thinking about trying something new and risky, you might think of the negative consequences that might occur if it doesn't work out. For example, if you try a new restaurant that you've never been to before, the food might not be good. But eating bad food isn't that big of a problem, so you don't have a lot to lose in that situation.
On the other hand, what if you're thinking of starting your own business but you have a house and 5 children. In this case, you might lose all your money and your children might suffer if your business doesn't succeed. So in this case, you do have a lot to lose.
There's a famous saying in English:
"Never contend with a man who has nothing to lose."
This means that people who are already poor, powerless, or lonely are dangerous to fight against because they will take the biggest risks.
When you pronounce "have to" meaning "must", the words blend together and sometimes sound like "hafta". But "What do you have to lose?" should always be pronounced with a clear "v" sound in "have". That lets people know that "have" and "to" are separate.