No. The only items you ever lose are the ones that are consumable in a way, or can be given away. That means things like rupees (you can store them in the Clock Town bank in order to avoid that), arrows (you keep the bow), bombs (you keep the bomb bags), and the content of your bottles (you keep the bottles). If you have a trade item (things like the deeds, or the Moon Tear), those have to be gotten again, but that's usually no big deal.
Key Items, remains, swords, shields, masks, songs, maps, and everything else I forgot to list are kept forever.
Key Items, remains, swords, shields, masks, songs, maps, and everything else I forgot to list are kept forever.