In rec.photo.digital Floyd L. Davidson wrote:

JPEG is a lossy form of saving the picture -

The Bayer sensor is already lossy, having only one of RGGB at
any of four pixel locations, so one could make the argument that
JPEG imposes no further loss.

You could argue that until you are blue in the face, and it
still wouldn't be anything near correct though! :-)

I'm not going to argue it that long,
but I would say that nobody has quantified the loss that comes from
the Bayer sensor versus the loss that comes from JPEG.

The real problem with JPEG is that it is not edit-safe,
rather than loss of information at creation time.