He faced questions from MPs as the UK government published a White Paper, setting out its approach on Brexit.
It lays out 12 "principles" including migration control, free trade and "taking control of our own laws".
Plaid Cymru leader Leanne Wood said her party would do everything it could to prevent the damage of a "hard Brexit".
As the White Paper was unveiled, Montgomeryshire Conservative MP Glyn Davies asked Mr Davis for assurances that Welsh interests would be considered.
Putting the question, Mr Davies said: "In the interests' of UK unity, Wales' interests must be taken into account, including discussion of this white paper.
"Can you guarantee the involvement of Wales and continue to feature in all of our discussions, accepting of course that there can be no veto?"
The minister told him: "You are absolutely right and that's been the approach we've taken.
"We've had a number of meetings of the joint ministerial committee, two of them chaired by the prime minister, three of them chaired by me.
"We've been to Wales to see the Welsh Government to talk about some of these issues.
"The minister of state [David Jones] is appearing before the Welsh committee shortly on February 14.
"So we are taking the interests of Wales extremely seriously, and we will operate this negotiation so that no part of the United Kingdom loses. That's the aim."
Mr Davis was also challenged by Bridgend Labour MP Madeleine Moon to guarantee tariff-free access to European markets for car workers in Bridgend and steel workers in south Wales.
He told her that EU countries exported more to the UK than the UK exported to them, "so they clearly have a strong interest, as strong an interest as we do in tariff-free goods access".
Mr Davis added: "There's every reason to expect that we will succeed in what we intend to do which is to protect the jobs of her constituents."
Plaid Cymru leader Leanne Wood dismissed the White Paper as a "whitewash of the demands of Wales" as seen by her party and the Welsh Government.
They had called for "full and unfettered" access to the single market after Brexit in their own White Paper published in January.
"Today, the UK Government has confirmed it will forge ahead with a hard Brexit, dragging Wales out of the European Single Market, threatening 200,000 Welsh jobs and making tariff barriers likely," she said.
"Plaid Cymru will continue to do everything in its power to avoid economic damage and political oblivion."
UK ministers are "taking the interests of Wales extremely seriously" in preparations for leaving the EU, Brexit Secretary David Davis has said.