Maybe we should just list out everywhere you could lose a golf ball. Water, gorse, heather, trees, holes in the ground, ball-stealing crows, etc.
The real question is the penalty suffered, whether due to the marking of a hazard or by local rule. Stroke and distance is going to be worse than a lateral drop just about every time.
For every day play, often knowing the ball is gone is better than having to spend an eternity stomping through high grass (of whatever kind) trying to find it.
Sven