The song opens with the protagonist acknowledging the emotional scar left in him by the relationship. He is trying to ignore the pain, but he is trapped in the past and it is all he knows. He is unable to break away from the memories, and feels lost in his own illusions and confusion. He attempts to keep the pain inside, but realizes he will never be alright. The song ends with him being lost in the same memories and illusions he was trying to escape.
The themes in this song are similar to those in other Linkin Park songs, such as "Numb" and "In the End". In "Lost", the themes of isolation, pain, confusion, and fear are explored. The lyrics describe a person who is trapped in the past, unable to break away from the pain they feel. They have lost their dignity and are living in their own confusion. The chorus emphasizes the feeling of being lost, with the repetition of the phrase "I'm lost" to emphasize the feeling of hopelessness. This is a common theme in Linkin Park songs, as they often explore the idea of being lost in one's own emotions.