Last year, I had to take my dog to the vet because she was losing weight despite eating well. I didn't think she was sick because usually she doesn't eat when she's sick. On the contrary, she had been eating a lot more than usual and was still looking really thin.
The vet put her on malabsorption treatment which was basically vitamins. He also decided to put her on a course of anti-parasitic medication in case that was the problem. After she went through the whole course of the medication, she started gaining weight immediately and stopped eating so much! I guess parasites was the cause of her malabsorption.