Everything you were carrying. The kit you bought for that life is gone. Your cash balance, XP and paid-for unlocks stay.
So every life is a small investment: your profit for a life is what you earned minus what you brought. Keep the kit cheap until you reliably earn more per life than it costs, and press Rebuy at the vendor to repurchase your last kit in a couple of clicks.
A teammate who revives you before you bleed out saves the kit. That is why playing near other people is a cost saving, not just a social choice.