It will mostly lose it, yes (like explaining a joke).
Because it's not just that a word exists in some language X that doesn't exist in language Y (you can always explain the word's general meaning with a complete phrase or two).
The most important part is rather having that notion in the language X as a handy thing to use -- and thus being able to shape concepts and phrases around it, and sharing an instant common recognition for that notion with others.
That said, there are several very good books on the subtleties of translation and language concepts in general, but one I suggest for the HN crowd would be "Le Ton Beau De Marot: In Praise Of The Music Of Language" by Douglas R. Hofstadter (of "Godel, Escher, Bach" fame).
I'm not sure if the main point is that things can't be explained, but rather that a good explanation needs to encompass a (impractically) large section of the culture surrounding the term. Just as you can learn a new culture and language by immersion, that immersion can be approximated by language (one of the reasons why reading books is such a great thing!).
I'm not sure if these are examples of things that cannot be translated or explained in a foreign language, but they are a few things that came to mind:
You can't really translate Japanese haiku to English, only approximate them (well, some of them). The Samic language (and probably others, at least I'd expect some native American/First Nation languages to have a similar term), has a word for the state between being awake and being asleep/dreaming: adjagas. In Maori, the ideas of boiled food is tightly connected to the physical world, so much so that boiled fish/food is considered anti-magic (or so I've been informed by a linguist). The Norwegian word "koselig"/"å kose seg" is hard to translate to English. It's related to "cozy"[k], but carries a deeper meaning that is deeply connected to Norwegian culture (or so a lot of foreigners seem to think).
In martial arts, the concept of distance can be represented by the Japanese term "maai"[m]. Is this really so different from similar concepts from fencing? I'm not sure, but the meaning is certainly deeply connected to the culture and concepts of martial arts.
You'll note that I've not listed any English concepts that I see as hard to translate or explain in other languages. This is partly because thanks to Hollywood (and other cultural exports, like books), many ideas from (American) English is already part of many cultures of the world - at least those with which I'm mostly familiar: Norway and Japan. I suppose the custom of asking how someone is doing, while not actually wanting to know how they're doing, could be one such example.
This makes me really curious: do you have an example of this or would the explanation of an example in English lose the essence of the explanation?