“Train of thought” means the subject or thing you are thinking about at a particular time. When you “lose your train of thought,” it means that you somehow got distracted from whatever you were thinking about. For example, when you are talking with a friend and trying to make some point, but then you forget what you were about to say, you can say “Sorry, I lost my train of thought.” Here, she is distracting him from whatever it was he was thinking about.