Yes, you will lose all the data in the data field that is changed.
BEFORE changing the data field type, we suggest you export the CSV file from the entity list page. By selecting "All Columns" it will export a view of all columns within the view page of a record, as well as the data that is loaded against those columns.
When exporting, disable all filters, should you wish to also extract the historic data for the entity. Keep in mind there is a limit of exporting up to a max of 10 000 records.
This will allow you to keep the old data in Excel. Once exported you can proceed in changing the field type.