SEP IRAs and other kinds of IRAs are tax-advantaged accounts that hold many different types of investments. Individual investments may lose value, and it is possible to lose money in a SEP IRA, but it’s very, very unlikely you’d lose everything.
The two best ways to protect your IRA investments is to diversify them. Don’t invest everything in one or two investments. Also, as you get older and closer to retirement age, you’ll want to rebalance your portfolio so it stays aligned with your risk tolerance.