There are two different types of combat tags. Yellow tags, in which you will not lose your items, and red tags where you will lose your items and shard pouch.
Yellow tags are the type of combat tag that you will get when you are in a battle zone and yellow combat zones, such as the Nether. You will not lose your items when you die, however if you hit somebody who is red tagged, you will be switched to a red combat tag. Yellow tags can be found in battle zones, and outside of docks in dock territories. These areas are also known as Yellow Wilderness.
You can tell that a player is yellow tagged by the color of the skull emoji next to their name.
Red tags are the type of combat tag in which you will lose all of your items. You will get these tags when you are in Red Wilderness. Once you are red tagged, you cannot lose the tag unless you get out of combat, meaning you cannot run into Yellow Wilderness and lose your red tag.