That isn't to say that if you lose fat, you have to lose muscle too or that you can't get stronger while trying to lose weight. If you follow a balanced program that includes cardio, strength training and flexibility and make sure you're getting adequate protein, you're on the right track.
When it comes to setting your goals, you can either choose to gain muscle or to lose fat. You could even split your goals goals into different phases--a fat-loss phase (in which you also preserve muscle mass) and a muscle-building phase. But, what you can't do is go after muscle-building and fat loss all at the same time. Learn more about building muscle and fat loss.
References
Layman, Donald K., et al. (2005). Dietary protein and exercise have additive effects on body composition during weight loss in adult women. The American Society for Nutritional Sciences J. Nutr. 135:1903-1910, August.
Are you losing muscle as well as fat?. The Facts About Fitness. Retrieved March 6, 2006 from http://www.thefactsaboutfitness.com/news/exerpro.htm

