There is a line in the song that states, "Freedom's just another word for nothin' left to lose...." Possibly the writer of this song meant to say that it is only those who have nothing who are truly free, and an argument can be made for that. I see it a bit differently. Those who are truly free have nothing to lose. A major theme through Scripture is freedom. From the Exodus from Egypt and the laws concerning freeing servants and property, to the prophecies of One who will free the captives, the Old Testament is full of freedom.
When we think of freedom, we usually look to the New Testament. Jesus stated that he was the promised liberator of the captives. He told the people that true freedom came from the Son setting them free. Freedom echoes through the epistles, and in Galatians 5:1 we are told that we have been set free for ... freedom. Think about that for a second. Freedom is the reason we have been set free! I would venture to say that God thinks freedom is pretty important.
If we have been made free in Christ, is there anything we have to lose? List all the things the world strives to hold on to: money, possessions, relationships, pleasures, reputation, power, etc.. Because we are alive in Christ, we are dead to those things and they are to have no hold on us anymore. When we think that have to worry about losing those things, we are not thinking according to who we are, and we are not listening to our Shepherd's voice. The Kingdom is described as a great treasure that is worth giving up everything else. The more we realize our freedom as a child of God and a co-heir with Jesus, and the more we live in that reality, the more we realize that because of freedom, we have nothing to lose. Even if we were to "lose" everything, if we are free in Christ we already have everything.
Live in freedom!