In general usage, zip is lossless (assuming a bug-freeimplementation), but there is one scenario that could apply to data-loss: NTFS Alternate Data Streams. This little-used feature allows a single file to have multiple independent sets of contents. Most code will only ever see the unnamed stream, but others can exist.
So; if a program decided to store the data in an NTFS Alternate Data Stream, your zip client won't see that portion (it needs to explicitly ask for it, and RAR is the only one that does this currentlyRAR is the only one that does this currently).
But to emphasise: this is used very rarely, and not normally with things like PSD. I suspect your friend/associate is simply wrong.
