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Jet engines are designed to contain a fan blade failure, and the engines and airplanes are designed with this type of failure in mind. This is more critical in the modern high-bypass designs with large fans. Pictures from bird strikes sometimes show pretty severe damage, but I don't remember any that actually lost a fan blade.

How often does a jet engine actually lose a fan blade?

This is different from a rotor burst, which is uncontained (like with Qantas Flight 32).

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I found the following rather surprising statement in a (probably quite old) University of Southamption document

Rolls-Royce has never had a service failure of conventional fan blades in over 40 million hours of operation, and there have been no service failures of wide-chord blades in over 10 million hours of operation (Baldwin 1993).

In one incident, RB211-535E4 engines on a Boeing 757 were struck by a flock of Canada geese near Chicago – some seven birds, each around 3 kg, were ingested. The wide-chord fan blades withstood the impact, which was some eight times greater than the requirements for certification, and the engine did not have to be shut down in flight.

So far as I know, bodies like the NTSB don't collect statistics on blade failure events.

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