Do all macro lenses loose light at close focusing distances?

The short answer, of course, is YES. But here's the reason. As you focus closer you have effectively changed the focal length of your lens (it's only its rated focal length at infinity) but the actual physical size of the aperture remains the same, and since the aperture number is only a ratio between the focal length and the actual diameter of the aperture opening, that f/number changes. f= focal length divided by the diameter of the opening.

So to further elaborate, on a 100mm lens f=100. f/4 equals 100 divided by 4 or a 25mm opening. Extend that lens closer to focus closer, say to 200mm, then f equals 200mm divided by that same aperture opening of 25mm and you now have f/8. So even though the numbers on the outside of the lens have stayed the same, the actual numerical aperture is not two stops less than the markings on the lens.

To give you a rough rule of thumb, a 1:1 macro reproduction ratio loses two f/stops from the marked aperture number. A marked f/5.6 is in fact f/11 even though it still says f/5.6.

When you move even closer you lose more light. At a 2:1 ratio or double life size, you lose another stop of light so that your marked f/5.6 is really now f/16.

Now you can start to see the implications of stopping the lens down too far when doing macro photography, as you'll start to see significant image degradation due to diffraction when you go much past an effective f/11.

Your friend who claims that this doesn't happen on his lens is wrong but you might not want to tell him that in order to avoid a pointless argument. Good enough to know it for yourself and to know it's just simple physics that no one can change or alter.