Well, first of all, 'to lose' is a verb in form, but it's a noun in function. It's the object of the verb 'deserve'. Second of all, both 1. and 2. are fine, but the second one needs context:
1. We deserve to lose (the game).
2. We deserve to be lost (in the woods).
Situation: Pat and Max are hiking Pat: You lost the map? Max: Yes. But you lost the compass.