I am confused!

That sentance would require a bit more detail. But I think it means that the person who is saying that is trying to convey that they did not listen to any more music, and did not pay attention to any more bands after the Beatles stoped making and playing music.

They are 'lost' as in they do not know of any other band as well as they knew the Beatles.

I would assume that sentance was a responce to a question that was about a newer band, in wich the person responded " After the Beatles, I am lost"