Lossless audio means that the audio could be converted back (sample accurate) to its original quality. This means that no audio-data/info has been thrown away. When audio is converted to a lossy format (let's say MP3) quite some information is thrown away which never can be retrieved.
When audio is converted to a lossless format (let's say FLAC as an example), no information is thrown out. Data is only compressed as much as possible but all audio information will always be available. For archiving purposes one should always use a lossless audio format.