It is just a statistic because at Grand Slams it also something that people factor in because it is the only tennis tournament that has a winner based on the first to win three sets (best of 5 sets).
In fact Federer reached a record 36 consecutive Grand Slam quarter-finals between 2004 Wimbledon and 2013 Roland Garros. That is a record unmatched and will probably never be broken.
Also Federer has won an a record 20 Grand Slam singles titles (joint with Nadal) and a record 31 Grand Slam finals (10 consecutive, and another 8 consecutive – the two longest streaks in history), 46 semi-finals and 57 quarter-final appearances and with them being the best of 3 sets they are always going to be factored in and really classed as irrelevant.
but that means he had a lot of lost matches. the fact that someone has the highest number of lost finals can't help them to be promoted as greatest of all time. Rodger is older than Novak and Rafa, so he played a little bit more Grand Slam tournaments, it is not insignificant facts.
Of course, it can be ignored his constantly high level of quality for years. Plus little luck with injuries, I can't remember when Rodger had a long break due to injury.