Things only get to the Lost Zone only if the effect of a card tells you to do so.
Examples include Dialga G Lv. X's Remove Lost attack, Palkia G Lv. X's Lost Cyclone Poke-Power, Giratina Lv. X's Darkness Lost attack, and Giratina's Broken-Space Blow attack. All of these cards are from the Platinum set, though there are others that send cards to the Lost Zone (such as Absol G Lv. X's Poke-Power).