When converting one field type to another Airtable will do its best to retain any existing data.
Converting to a linked record field
When you convert a field to a linked record field, what happens depends on the target table and its primary field.
Linking to an existing table with an editable primary field. Airtable will match records where possible, and create new records where there are no matches. Airtable will create an inverse link field in the other table (unless you are creating a same-table link).
Linking to an existing table with a computed primary field. Airtable will match records where possible, but not create new records where there are no matches. If there is no match, you will loose the data in the original field. Airtable will create an inverse link field in the other table (unless you are creating a same-table link).
Linking to a new table. Airtable will create a new table with an editable primary field. The new table will have two fields: an editable primary field and the inverse link field.
Check the name of the inverse link field that is created to ensure that it has a meaningful name.