It means that although you have won in a small fight or war but what matters is that you have lost a larger, more importantly the reason for which you fought.
Diagrams
Originated from/Coined by
This expression originally came from a battle where King Pyrrhus of Epirus defeated the Romans at Asculum in AD. 279
Further Reading/ References
https://www.collinsdictionary.com/dictionary/english/lose-win-the-battle-win-lose-the-war