If my memory serves me right, Lost should be on Disney+ in Italy, at least the last times I checked. Try searching for it there because that's the platform that has the rights to the series, especially after Disney acquired Fox. If you don't find it right away, check whether it's in the full catalog or maybe in a specific section dedicated to classics.
If Disney+ doesn't have what you're looking for (though that would surprise me), you could try Now (Sky's platform), which often has older TV series. Another option is to buy the series on iTunes or Amazon Prime Video, maybe on sale, if you don't want extra subscriptions. I know it's not ideal to pay when you want to rewatch it for free, but at least you've got the content guaranteed and can watch it whenever you want without the stress of availability.
Oh, one thing: if you find out that a platform offers it to you dubbed in Italian but you prefer the original English, many allow you to change the language straight from the series settings. Lost works great in both versions, but the original has that extra something, especially for the more subtle dialogue details that sometimes get lost in translation.