Converting to Apple Lossless

I have an existing library on iTunes. Is it necessary to re-burn my entire cd collection in a lossless format? The reason I ask is because I just noticed that by right clicking on a file, I am given the option to "Convert to Lossless." Probably a stupid question, but my concern probably from lack of understanding....in my simpleton mind, all of the data is not there unless copied from the source as a lossless file.
Of course now that I am actually trying it, I am seeing the file sizes increase pretty significantly. Huh.
Thanks.
Bob