Lossless compression is when you compress (most often image) files without losing any quality at all, so that the viewer or reader of the content cannot tell that the file has been compressed.
With image files, this can mean removing support for colours which are not included in the file; or removing some image meta data from the file.
With text based files, such as HTML, JS or CSS, minification can be regarded as a form of lossless compression too, as can processes such as deflate and Gzip.
With lossless compression, there is no discernible depreciation in quality in the file itself. So with an image, the compressed file is not different to the naked eye – at all – to its larger, uncompressed, counterpart.