It is not the service records that were lost but records such as muster rolls, casualty lists, etc. The military service records in the National Archives were compiled by the War Department in the late 1800s from surviving Confederate records. In some cases, Trans-Mississippi records never made it across the Mississippi River so did not become a part of the Confederate War Department archives. Other records were destroyed during the course of the war. A large body of records was captured by the Union army at Shreveport when the war ended, but these appear to have consisted primarily of letter books, order books, and similar higher-level documents. Oddly enough, I have come across a number of muster rolls in various university libraries and archives. They apparently were retained by an officer of the unit and became a part of his personal papers afterwards.