That's what I used to think about lossless files, especially Apple Lossless. However, upon further experimentation, I've come to the conclusion it's the limitations of iTunes in PC environment (non Mac) that can be misleading and not apple lossless codec.
In Foobar, if I open my eyes and A-B Flac vs. .wav, I can sometimes convince myself there is a difference in sound. But after "blinding" myself, I've convinced myself that I can't tell between Flac and .wav. In other words, I would not bet even $1 that I can reliably tell Flac vs. .wav blindfolded.
Both Flac and Apple Lossless have been demonstrated to be bit-perfect w/ .wav, and Foobar at least decodes Flac into basically the uncompressed equivalent before playing the file, so there is no "loss" of any digital information. Some people could argue, and they have, that the Flac encoder/decoder can introduce some kind of interference or distortions, but no one has proven this with any kind of real evidence so far.