What did the colonies lose by declaring independence?

The short answer to this question is that the colonies lost security. As a member of the vast British Empire, the Thirteen Colonies enjoyed a large degree of both economic and military security. Being a lucrative part of the British Empire, the American colonies were often coveted by other European powers, particularly the French. The British victory in the French and Indian War in 1763 put an end to French intentions on the continent. However, without the protection of the British military, the newly independent United States now found it necessary to raise its own military, something it initially struggled to do.
Furthermore, in the 18th Century, Britain was the head of the largest trade network in the world. Secure and lucrative economic markets existed from India to the Caribbean to Europe. As part of this network, merchants in British North America had access to goods from all over the world and could sell their wares in those markets as well. It is true that merchants in the Thirteen Colonies often chaffed under the restrictions imposed upon them by their imperial masters in England. This, in fact, was a leading cause for the fight for independence. However, after independence was declared in 1776, the young United States no longer had access to the economic markets provided by the British Empire.
Additionally, the Thirteen Colonies were the first to declare independence from their mother country. More revolutions would follow elsewhere in the world in the decades to come. However, this type of independence was uncharted territory in the 1770s. No one knew exactly how the new nation would be governed or how it would function. The security of being part of a well established and powerful Empire vanished when independence was declared. The former colonies faced uncertain and anxious times ahead.