The only format guaranteed to be lossless is Dia XML. Happily, you are unlikely to accidentally save in a lossy format because File->Save always produces a file in Dia XML format.
Files in Dia XML format are automatically compressed using gzip to save disk space. This is almost necessary since, without compression, even simple diagrams are very large because they store much redundant information. Dia XML files are already compressed, so further compressing them using other archive formats will not help make them significantly smaller.