No data or sessions will be lost by performing a rolling upgrade, as long as it is done properly.
Before beginning the upgrade, the host must leave the store and the store needs to finish object load balancing. Follow the steps as outlined (MGT-6) on our Best Practices page.
If the local client model (client application and SOSS host on the same machine) is being used, keep in mind that the client application can only communicate with a locally running SOSS service. While the local service is unavailable during the upgrade, there should be no load being pushed to that server.