It all becomes clearer if you paraphrase it a bit.
Non sanno cosa si sono persi
can be expressed as
Non sanno cosa hanno perso per loro stessi
That is because they're missing an event that would have been a great thing for them.
It works with others too: for example if I got lost with the car driving my daughter to a great school party, others could say to me
Non sai cosa le hai fatto perdere
Or maybe I deliberately didn't want her to go, others could say to me
Non sai cosa le stai facendo perdere
Obviously perdere is an intransitive verb and you have to change the sentence a bit when you go from a reflexive (io, noi) to other persons (tu, egli/ella, voi, essi/esse)