Another way to think about it...
Say you have an uncompressed .wav file. Since it's digital it's made up completely of 0's and 1's. So, say an uncompressed file looks like this:
000110101111111100000
You notice how you get some repeating numbers there? For instance, there are 8 1's in a row. Wouldn't a more efficient use of space be to say '1, repeat 8 times' rather than writing out 1 eight times? This is sort of how compression works. You find patterns and shrink it down to use less space. All the information is there but it just takes up less space on your hard drive.
What an lossless codec does is find ways to shrink down the file size using something like I described above by finding repeating patterns in the file to reduce the file size. All the information is there to bring it back to it's original, full size and both files still contain the same information. The bit rate is calculated by dividing the length of the song by the total size of the file. This is pretty meaningless when you're talking about lossless because all it's telling you is how efficiently the file was compressed and has nothing to do with the actual sound quality of the song. Lower bitrates on a lossless file simply tell you that there were more repeating 0's or 1's (long stretches of silence, etc.) in the file making it easier to compress.
If it were being converted to a lossy codec (i.e. MP3) you're actually getting rid of 0's and 1's that aren't easily heard (super high and low frequency stuff usally) in order to reduce the file size as well as using the tricks I mentioned above. Once you get rid of the 0's and 1's there's no going back though.
Hope I didn't confuse you too much but I tried to simplify it as much as possible.