From your Momentum app, go to Notifications

From the Notifications page, click New Notification

Add a name for your Notification

Select trigger type to Opportunity Updated

In the condition requirements box, check the box changed?

Select field as Stage

Select operator as Includes

Select the value as Closed Lost and click Next

Add any message that you want to show with the notification along with fields like Amount, Account name, etc. (one field is necessary to move on to the next step)

Click on Advanced Options from the editor

Select the format you want to show your notification in, choose if you want to show who created the notification, link to the notification and check if you want ignore duplicates

Select the Channel

Click on Create