Changing field types Select to Multiselect, will I lose data?

However when I do this will I lose the data that people have already entered?

No you should not lose any data from switching between "selectable" fields like select, multiselect, checkbox, radio, text, setautocomplete.

Although you will lose if you switch to multiple level select.

But in any case please make backup before you proceed in case something goes wrong.

Excellent to hear. I have a follow up question. Currently I use many pre-filtered links. I use this code to get the value of the selected field

&filter_name[0]=filter_key&filter_val[0]=value1

Would that change when switched to a multiselect field? I can't seem to find the answer in the documentation. Thanks.

Switch will affect prefiltered links as filter key is MD5 of field type and label. After you change type, key also will be changed.

Makes sense, thank you.