A lot of people get rejected during the interview and a lot of people's case numbers are so high, they never become current, people never even get an interview, so the fact that you may have won the lottery doesn't guarantee a GC.
Now, if you filed an application in a DV lottery, and didn't win - you are still in F-1 status and you didn't show immigrant intent.
If you won, but didn't file the immigrant visa petition, you are still in F-1 status and you didn't show immigrant intent.
If you won and filed the immigrant visa petition, then you showed an immigrant intent, and if you don't get adjusted/get an immigrant visa, your chances of ever getting a non-immigrant visa are slim to none.
If you won, were in the States legally in F1, J1, H1 status (or similar) and applied for an adjustment of status, but didn't get an AOS work permit and an advance parole, THEN there is a gray area of you being able to fall back on your non-immigrant status if you don't get adjusted. A good lawyer would probably help get you "reinstated".