It's hard to lose everything, but you can definitely lose a lot even with a diversified portfolio of low-cost funds:
1. Retire into a long, grinding bear market, with or without high inflation (like the 1970s). Sell as needed to obtain income. You'll sell for a loss a lot of times, and you won't have a choice because you need the money to live.
2. In the middle of a tough down market, have an emergency that requires you to come up with a whole lot of money at once. Not a "car broke down" emergency, but something like your child needs emergency brain surgery and a year of full-time rehabilitation that your insurance company will only cover a fraction of. Sell for whatever you can get, which is less than you paid, because you need the cash NOW.
3. Have some of the major companies in your diversified fund go bankrupt and out of business, like WAMU and other financials in 2008. Stock goes to zero and never comes back. This hurt a LOT of value funds that invested in financials because they were traditionally safe.
However, most of the times when people lose a lot, it's because they panicked and sold low, or because they bought "hot" stocks because they were hot, or one of the reasons ioseftavi listed.