The proper English phrase is "you will lose".
You should also use "unprocessed" rather than "not processed" -
perhaps something like this:
The list contains unprocessed panorama members.\n
If you close this dialog you will lose them.\n
Continue anyway?
(I'm not sure what list you are referring to here; if this is a list
of files then the first sentence might be better as:
The list contains unprocessed files.\n