'Lossy compression' is a term used in audio/video/image data ENCODING, e.g. in audio/video editing or image editing like in Photoshop, etc. The term is not used in in the field of general file compression/archiving, which is what you are asking about (ZIP, RAR, 7ZIP, etc.)
Why is that? Because video and audio data can take loss of some parts of the video or audio information without it being too visible/audible in the end product.
In video/audio/image encoding, the data compression is applied during the creation of a file, e.g. when an .mp3 file is generated in an audio editing program, an .mp4 video file is rendered from an iMovie project, a photo or graphic is saved as JPG file... In the field of audio and video compression, the software parts that define the various compression methods/algorithms are called 'codec' (coder/decoder). There are lossless codecs for media encoding, too.
This is different from the application of file archiving/compression programs on already existing files of any kind where data loss would simply render the archived/compressed file(s) corrupt, meaning unusable. So, file archiving/compression is always lossless.
Of course you can still use archiving programs (in OS X: right-click>Compress) to compress existing mp3 or other media files into one archive file (ZIP), which is often done when multiple files in a folder need to be sent over the Internet.