No, the word "convert" means you don't lose your data. If instead
you were starting over and reformatting as NTFS, you would lose
your data.
However, note that that's what is *supposed* to happen.
Conversion is a big step, affecting everything on your drive.
When you take such a big step, no matter how unlikely, it is
always possib;e that something could go wrong. For that reason,
it's prudent to make sure you have a backup of anything you can't
afford to lose before begining.