There are a couple reasons this can happen! It can mean the Moz/ahrefs crawlers attempted to recrawl that link and weren't able to. (It doesn’t necessarily mean the link has actually been removed, just that they couldn't find it on that crawl attempt.)
Arefs has a good guide here for understanding "lost" links that you're still seeing. You may be able to identify the issue and get it fixed: https://help.ahrefs.com/en/articles/816350-why-does-ahrefs-report-a-backlink-as-lost-if-i-still-see-it-on-a-page
Moz also has a resource that can help with getting the crawlers. See their FAQ on "Why was my link lost?" https://moz.com/help/link-explorer/link-building/discovered-and-lost