At a loss: This phrase is an idiom. It means anxious or puzzled.Sometime you are sure about something positive happening. But,it did not happen according to your expectation. In such a situation, you can say 'I am at a loss because I was pretty confident in getting the job'.
For example Sita was at a loss because the stocks which she had invested in fell down suddenly.
The investors of the finance company were at a loss when it closed down with out any prior information.