Sadie
If you are putting a solid ( not glass ) roof on it then you can super insulate to prevent heatloss through the roof. Other elements are walls, windows and floor.
Super insulate the walls and floor also and then it is down to the windows. Ideally all windows fitted going forward should be high spec tripple glazed but these are very expensive so most people use double glazed.
I suppose to answer your question - yes it will suck some heat out unless you build in a new heat source to the new room or go totally down the passive house building route of super insulating, tripple glazing etc.