Passkeys are saved server-side, so you cannot physically lose them. If you lose access to the account with the passkey, you can recover them.
Built upon the WebAuthn standard, Passkeys utilize public and private key cryptography. The public key is saved on the server, and the private key is saved on your device. While a passkey cannot get physically lost, the device that the private key is saved could be. In this situation the passkey can be restored through iCloud Keychain or Google Password Manager.
If a device with a passkey is lost, someone else will not be able to access your passkey without your PIN/Passcode/Biometrics.
Passkey compatibility with devices can be found here.