A lot of what the ego does is to tell us what to do to stay "safe." It is often quite wrong, and as we become more conscious and focused on the present moment, it is quite normal to feel lost at first. This is part of the sacred adjustment time where you realize that "lost" is a concept. The part of you making the judgment that you are lost is part of the problem. From this vantage point, I don't try to help you find yourself. Instead, I simply point out that you have always been here and now. You could never be lost from the present moment.
On the other side of the coin are those people still very stuck in the ego. In this way, they are lost because they are not focusing on reality. When you don't see the truth of life and try to live out ego illusions, you are lost.