Lost a saddle when cycling (2,3)
I believe the answer is:
at sea
'lost' is the definition.
(both can mean confused or in trouble)
'a saddle when cycling' is the wordplay.
'saddle when' becomes 'esta' (I can't justify this - if you can you should believe this answer much more).
'cycling' says the letters should be written backwards (letters cycle back).
'a'+'esta'='aesta'
'aesta' written backwards gives 'AT SEA'.
Can you help me to learn more?
(Other definitions for at sea that I've seen before include "Bewildered on the ocean?" , "Disorganised; bewildered" , "Sailing on a ship?" , "Muddled on the ocean?" , "Confused, uncertain" .)