I want to sync my previously never synced iPhone to a Mac. Is there a risk of data loss?
Yes - there always is a risk of data loss even though the software (iTunes and iOS) are designed to let you make a backup and transfer all data before it erases anything. 

Best to go online / call apple or visit a store and research how to prevent an automatic sync for your version of iTunes and the steps to back up / transfer that content before you start. 

Without knowing your iOS version and iTunes version it's hard to be more specific. It should go fine, but best to be prepared beforehand.