What's the point are you trying to make?
You know from immigration process, a lot of the times the questions are asked not because USCIS / DHS / DOS don't have a record, but because moral character is tested. E.g. they have info and you're lie - you don't get immigration benefit.
OP has nothing to hide. Yes, they no longer have the passport as it was lost / misplaced. This is not end of the world.
Unlike missing marriage certificate / birth certificate etc, this document cannot be "reconstructed" with all the prior stamps, visas etc. When it's lost, it's lost.