You can mark a lead as lost for several reasons such as a lost deal, inactive deal for a time period, etc.
A lead can be marked as lost from any stage in the pipeline. Once you mark a lead as lost all the information pertaining to the lead such as notes, todo's, files etc will be archived along with the lead.

To mark a lead as lost click on the lead in the pipeline.

Click on the option Mark as lost

Once you click on Mark as lost, the lead will move from pipeline to Archived Leads. The lead can now be viewed in the archived lead page.