No, you don't lose anything. As the option says, "old" files are compressed, not deleted. The compression algorithm is "lossless" and no information is lost.
IIRC, the default for "old" is "hasn't been touched in 7 days," but whatever the period is, it can be changed by clicking the "Options" button in the Disk Cleanup Utility.
Many peopledisable this function of the Disk Cleanup Utility because it can take a long time to scan all the files and determine which files are eligible to be compressed. Back when hard drives were small, it was perhaps useful to trade a slight increase in file access time for more hard drive space. These days, it doesn't seem worthwhile.
If you do select "compress old files" -- and if you haven't changed your default settings in Windows Explorer -- you will notice that some file names are shown in blue; those are the compressed files.