Music files are “lossy” because they are compressed. By compressed, I mean segments of the upper and lower range are cut out. Why are they compressed? Because “lossless” files are huge multiples of the size and will eat into your storage space. For example, the average mp3 is 2000-5000kb. A lossless file can be on the order of 30,000-40,000kb or even higher. To the untrained ear, it may be very difficult to detect the ranges that are cut out, and so saving storage space takes on a higher priority.
So most people are willing to put up with compression in order to fit more songs on their devices.