what does it mean when someone says that they have nothing to lose?
It means what it says.
When a person says that, they usually mean that they have practically hit rock bottom with everything and they don't have anything else that they don't care for. They have lost everything that is worth of any value to them and there isn't a point to whatever.
They believe that nothing can bring them any lower in life and bring others down with them.
they feel that all the things important in their life is gone and there is no way to retrieve them... this person could go through anything and not care about the outcome cause they think it would not affect anything/anyone in their life