The "fat loss" zone refers to the heart rate (exercise intensity) in which your primary energy source is fat. In other words, while you're in this zone you're using fat as your energy source instead of carbohydrates. Keep in mind however, that at any given intensity you're actually using more than one energy system.
At higher intensities your primary energy source will come from carbs.
The thing to realize is that just because in the "fat burn" zone fat will be your primary energy source, it doesn't mean that it's a more effective for fat loss. Higher intensity exercise, like interval training, causes a spike in your metabolism after you are finished exercising. The effect? You continue to burn energy (ie. fat) at a higher rate when you're finished exercising than you did before you started the exercise. This spike can last up to 24 hours post exercise.
After looking through the research at the effects of interval training on fat loss as compared to low intensity exercise, you're better off sticking with high intensity intervals.
Keep in mind also that those heart rate zones found on machines are based on max heart rate calculations and not VO2 Max. In other words, they're not very accurate.