When and where did Warren Buffett say: “Rule No.1: Never lose money. Rule No.2: Never forget rule No.1”?

If he did actually say this, I doubt it was serious. Buffet is a great investor but has lost money on many occasions. He knows that investing involves risk and that never losing money is impossible. This may very well be a sarcastic comment at Wall Street traders.

https://web.archive.org/web/20111229015815/http://finance.yahoo.com/news/pf_article_108903.html

By Stephanie Loiacono | Investopedia – Tue, Feb 23, 2010 3:00 AM EST

The heading is in quotes. That might be misleading grammar, or just that Loiacono doesn't specify when and where she interviewed Buffett.

Regardless, this is the oldest reference I could find.

"Rule No. 1: Never lose money. Rule No. 2: Never forget rule No. 1."

Buffett personally lost about $23 billion in the financial crisis of 2008, and his company, Berkshire Hathaway, lost its revered AAA ratings. So how can he tell us to never lose money?

He's referring to the mindset of a sensible investor. Don't be frivolous. Don't gamble. Don't go into an investment with a cavalier attitude that it's OK to lose. Be informed. Do your homework. Buffett invests only in companies he thoroughly researches and understands. He doesn't go into an investment prepared to lose, and neither should you.

Here's a video, from Adam Smith’s Money World: How to Pick Stocks & Get Rich, PBS (1985): https://www.youtube.com/watch?v=vCpT-UmVf3g&ab_channel=SerenityStocks

The first rule of an investment is don't lose. And the second rule of an investment is don't forget the first rule, and that's all the rules there are. I mean if you buy things for far below what they're worth, and you buy a group of them, you basically don't lose money.