Mogherini also warned that the Brexit talks with London were expected to be difficult.
UK Prime Minister Theresa May formally began Britain's divorce from the EU last month.
Britain now has two years to negotiate the terms of the divorce before it comes into effect in late March 2019.
"They will have to dismantle their belonging to a community. We will lose an important member state," Mogherini told students at a university in Beijing.
"Let me tell you that to me all member states are important, equally, because one can be contributing more on some policies than others. But I think our British friends will lose more than what we lose," said the foreign affairs chief.
The Brexit talks are expected to be put on hold until after the UK election in June, with some predicting that serious discussions will not commence until after the German national elections later this year.
Meanwhile, former Belgian Prime Minister Elio Di Rupo has sparked controversy after he said he is "glad" the UK is leaving the EU.
His comments directly contradict those of senior EU figures such as Commission President Jean-Claude Juncker and his Council counterpart Donald Tusk, who have voiced "sadness" and "regret" that Britain will quit the EU.
In a speech, Di Rupo said he "does not mind" if the UK leaves the 28-strong EU.
Di Rupo, who is Chair of Belgium's Socialist party, told a group of students on Tuesday in Louvain-la-Neuve that the EU is caught in a "neoliberal spiral".
"I'm glad they are leaving,” said Di Rupo, who went on to tell his "awful" experience sitting next to the former British Prime Minister David Cameron at a number of European summits.
"He never once said the word 'Europe' out loud, and he never accepted the use of the word during social negotiations."
Di Rupo, whose power base is in the southern, French-speaking part of Belgium, is equally unconcerned about the fate of the UK, telling the audience, "They have managed to dominate the world with us, and they will continue to do so without us."
His comments, reported by the Belgian newspaper Het Nieuwsblad, drew a swift response.
On Friday, Jayne Adye, director of Eurosceptic group Get Britain Out, told this website, "Like Di Rupo, we’re also glad the UK is leaving the EU. He is clearly aware of the gulf in thinking between EU elites like himself and the British public.
"We do not want any part in Di Rupo and others’ vision of a highly-integrated 'Europe'. We want to take back control of our laws, our money, and our borders. We will follow our own path and, as Di Rupo said, Britain will do just fine outside the EU.
"Our relationship with the EU will also be better after Brexit, when we are able to cooperate where appropriate as friendly neighbours - meaning awkward encounters like those between Di Rupo and Cameron will become a thing of the past."