So what's a photon? It doesn't have a mass (strictly, a rest mass, which is what you are talking about here), but does have energy...
Mass is, put simply, a form of energy, you can create pure energy from annihilation reactions (say an electron and positron colliding), and the amount of energy is perfectly predicted by special relativity. (

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Also, when Tj3 talks about there always being a loss of energy - this is not true. There is only a loss of useful energy. There will always be energy lost from a system through heat production or sound production or friction, but this energy is not destroyed, it is simply not useful to use and thus decreases the efficiancy of the system.
Please stop spewing about things you don't understand. You're only spreading the ignorance and making it difficult to clean up.