Two data loss considerations when changing a custom field type from Text to Picklist are:

Assignment and escalation rules may be affected, because the values in the picklist may not match the values that were previously entered in the text field, and the rules may not trigger as expected.

Any list view based on the custom field is deleted, because the filter criteria for the list view may not be valid for the new field type, and the list view cannot be displayed. There will be no data loss with use of a global value set or auto updates to Visualforce references, because these are not related to changing a custom field type from Text to Picklist. References: https://help.salesforce.com/s/articleView?id=sf.fields_changing_type_considerations.htm &type=5