(un-, prefix1 affix 7a.)

to have no idea: (a) colloquial to be unable to understand, imagine, or explain; often in phrase you have no idea; (b) (with that-clause) not to…

we had one but the wheel came off, jocular phrase used to indicate that the speaker has not understood the subject of the foregoing conversation.

Causal senses. To cause (a person) to ‘lose his way’; to bewilder. Esp. in you('ve) lost me = ‘I failed to follow what you were saying’.