The two things you lose
The obvious loss is the money and the compounding it would have earned. A ₹2 lakh balance left alone for thirty more years at the last declared rate of 8.25% becomes about ₹21 lakh. Withdrawn, it becomes a laptop.
The less obvious loss is continuous service. Your pension entitlement under EPS depends on total years of contributory service, and withdrawing breaks the chain. Transferring keeps it intact even across employers.
And it may be taxable
Withdrawal before five years of continuous service is generally taxable — and on all four parts: the employer's contribution and its interest count as salary, any 80C (now section 123) deduction you claimed on your own contribution is reversed, and the interest on your own contribution is taxed as other income. On top of that, TDS at 10% applies under section 192A where the taxable amount crosses ₹50,000, and that TDS is not the final tax. Five years counts across employers if you transferred rather than withdrew.
People routinely withdraw a small balance between jobs, are taxed on it, and never see the connection.
How a transfer works
Activate your UAN on the EPFO member portal if you have not. Your UAN stays with you across jobs; the member ID under it changes.
Then raise an online transfer claim from the old member ID to the new one. Both employers attest it digitally, and it typically completes within a few weeks.
While you are there, check that contributions were actually credited at your last employer. Deducting from your salary and not depositing is a real and reasonably common failure, and it is far easier to fix within months than years.