How likely could there be a loss of cabin pressure?
Aircraft incidents are an extremely remote event (they say that you're more likely to be killed in a car accident on your way to the airport than a plane crash). Within all the incidents that engineers foresee, some are more likely than others. These incidents are included in pilot training (and passenger briefing if applicable) to increase the likelihood that it can be handled properly. Loss of cabin pressure is one of them.

Technically air pressure inside the cabin cannot be "lost", but the term is used to describe a significant drop in air pressure. The masks deploy when cabin altitude is around 14,000 feet.

Cabin pressure is provided by two methods:


The engine actively pumping air into the cabin
The fuselage is sufficiently sealed to contain air pressure inside (it is not 100% sealed, but the pump is powerful enough to overcome the small leakage)


Failure of any of these two components would lead to a loss of cabin pressure.

Historically, causes of cabin depressurization has included:


Failure of all engines, whether due to volcanic ash, fuel exhaustion, or any other reasons
Failure of all air conditioning units on the aircraft
Incorrect setting of the air pressurization unit
Rupture of fuselage
Door flew off the aircraft
Cockpit window flew off the aircraft