Is it normal to feel lost while following a mathematical / physical reasoning?
What you are experiencing is very normal for a student. It takes a lot of practice solving simpler problems before you can, on your own, solve the harder ones. You have also discovered the truth that it is harder to produce a proof than it is to follow it. But it is also easer to read and follow a fictional story than it is to create one. That also takes a lot of practice. 

In fact, it takes a lot of failed attempts before you learn to see the successful path. Even then it is hard. 

Moreover, if you are reading the professional literature (published papers), note that most mathematicians will leave out all but the most essential steps. This is both because of page limits, but also because they are writing for people just like themselves, and not for novices, including students. 

So, while it is discouraging, it isn't something to think of as an indication that you are a failure. It is just genuinely difficult to follow sparsely written proofs and even harder to produce the steps between what you already know and what you want to prove. And the more practice you get, the easier it will become, partly because that practice helps you recall what you once knew but don't remember very well, having not used it actively for a while. 

Press on.