Why is energy lost in power lines?

It is virtually impossible to measure this, because it is constricted by time, season, locational load growth, extreme weather (including specific locations), and many other factors.

Here is some information to give you an idea of how this must be calculated, and why it is so difficult:

Transmission losses are also known as I^2 * R losses, because the losses are due to the inherent resistivity of power lines. Power "lost" in the transmission system = I^2 * R for each particular line. Power line resistivity is effected by how balanced the loading is (this is assumed to be perfectely balanced in many locations), the configuration of the three phases to each other, the type of conductor, transposition vs. non transposition, and the list continues, so each individual line in the power system must be taken into account. The other factor is the actual amount of current that is flowing, which is dependent on the amount of load at a particular time (which is not constant throughout the day).

Now, say one part of the country experiences severe weather, damaging several major power lines. When this occurs, local utilties often rely on neighboring utilities to provide power. This power may have to travel through more lines, incurring more transmission losses, than it typically would.

What if several lines are out of service due to work (reconductoring, replacing insulators, retentioning the line,...). This will cause different transmission losses for the power that would "typically" flow through these lines.

I live in a farming area, where lots of power is used for irrigation. If the season is unusually rainy, farmers will irrigate less, which allows the local utilities to sell power to other utilities outside our typical service area, which results in different transmission losses than normal.

If a power plant is added or removed, this impacts where power is flowing from, thus reduces / increases transmission losses to specific loads.

You can start to see the complexity involved in your question. I have never seen a number quoted for this, since it would be at best an order of magnitude estimate, and at worst (say, calculated during an "abnormal" year) completely worthless, even though the amount of data necessary to calculate this, and the inherent added costs (adding high precision meters literally everywhere, collecting the data, and calculating losses), would be extreme.