True enough, but they don't lose it for long. I don't see an appointed Republican being able to hold onto that Senate seat in the 2006 election, when it is regularly scheduled. The seat in the Senate would not make much of a difference in the two years until that point. The Republicans have a clear majority. However, that seat wouldn't get us to the magic number of 60 to be fillibuster-proof either. So, I don't think the Democrats would really pressure Lieberman to stay in the Senate if he wished to go into the administration.
The only Republican in CT that would have a chance at retaining the Senate seat in 2006 would be Chris Shays, but I seriously doubt he could do it either.