The relationships among secrecy, compression rate and shared secret key rate in lossless data compression are studied through the lenses of perfect secrecy, mutual information leakage, maximal leakage, local differential privacy, and secrecy by design. It is revealed that the utility cost of jointly compressing and securing data is very sensitive to the adopted secrecy metric and the specifics of the compression setting. That is, although it is well-known that the fundamental limits of traditional lossless variable-length compression and almost-lossless fixed-length compression are intimately related, this relationship collapses for many secrecy measures. The asymptotic fundamental limit of almost-lossless fixed-length compression remains entropy for all secrecy measures studied. However, the fundamental limit of lossless variable-length compression is no longer entropy under perfect secrecy, secrecy by design, or local differential privacy. Moreover, there are significant differences in secret key/secrecy tradeoffs between lossless and almost-lossless compression under perfect secrecy, secrecy by design, maximal leakage, and local differential privacy.