What is it so important to lose our life for Jesus' sake?
Living for Jesus is something we can only do by dying to ourselves. The Lord Himself said in Matthew 16:24-25, "Whoever wants to be my disciple must deny themselves and take up their cross and follow me. For whoever wants to save their life will lose it, but whoever loses their life for me will find it."
Losing our lives for Christ is very important, as it's the only way for us to truly follow Him. We can't have our earthly pleasures and experience His fullness at the same time. It's either one or the other: you live for yourself, or you live for Him.
The Bible says that no one can serve two masters. You can't please God when you are trying to chase pleasures. One good example is fasting, wherein our bodies either submit to the Lord, or succumb to hunger.
Why should I lose my life?
Jesus said "whoever loses his life for [Him] will find it." This is the only true way we get to experience the abundant life that He promised (see John 10:10). Think about it. When we are fully concerned about the affairs of this life, we will never fulfill our life's purpose. When we think about our lives too much, more than we think about God and His purposes, we miss God. It's not about us – it's about Him.
But can't I enjoy my life and enjoy God's goodness, too?
The idea here is if you want to be Christ's follower, you should deny yourself. God's not going to force you to deny yourself and follow Jesus, but if you really want to be a genuine Christian not just by religious affiliation, you'll need to deny yourself.
Self-denial does not equal to self-flagellation nor self-deprecation. It simply means denying our comforts, our desires (which if not of God are always sinful), our dreams (often different from His plans and purposes for us), and pretty much all that we want, in order for us to prioritize and pursue God and His will for us. No, it doesn't mean living a boring life. It means letting go of things that hinder us from living a full and blessed life in Christ.
Losing our lives for Jesus' sake means putting Him before ourselves. His commands before our plans. His glory before our success. Losing our lives for Jesus' sake means doing His will instead of our desires.
Losing our lives for Jesus' sake means becoming less of ourselves and more like Him. Losing our lives for Christ means losing our weak, pathetic, selfish, prideful and sinful selves in order to gain more of Him and His character.
Losing our lives for Christ's sake isn't a loss at all. In fact, it's all a gain.