Romany loses my horse (4)
I believe the answer is:
roan
'horse' is the definition.
(roan is a kind of horse)
'romany loses my' is the wordplay.
'loses' indicates named letters should be taken away.
'romany' with 'my' taken out is 'ROAN'.
(Other definitions for roan that I've seen before include "Type of 17's coat colouring" , "Horse with a brownish coat sprinkled with grey" , "nag" , "Reddish-coloured horse" , "Horse with coat speckled with white or grey" .)