Is it true the F-16 has never lost a dogfight?
migflug.com has a page for combat statistics for all the aircraft currently in use, from which:

The F-16 has 76 air kills, 1 air-to-air loss, and 5 losses to ground fire.

The one air-to-air loss (actually two F-16s colliding) was during the Aegean dispute:


  One of the routine interception maneuvers led to a fatal accident on 23 May 2006. Two Turkish F-16s and one reconnaissance F-4 were flying in the international airspace over the southern Aegean at 27,000 feet (8,200 m) without having submitted flight plans to the Greek FIR authorities. They were intercepted by two Greek F-16s off the coast of the Greek island Karpathos. During the ensuing mock dog fight, a Turkish F-16 and a Greek F-16 collided midair and subsequently crashed. The pilot of the Turkish plane survived the crash, but the Greek pilot died.


You may consider it zero since it was a "mock" dogfight.