He's a gelding, and we stand and watch all our horses finish their grain. He barely loses grain out of his mouth, and I've never seen him lose any hay or grass. He also eats carrots without any problems.
Worm of course as you're doing, get the vet to check/float his teeth. If that doesn't work it's probably something more serious. Perhaps a tumor of some kind. I know that with certain tumors they sap an animal of all nutrition.
I had to have 2 removed from my dog last year & she was losing weight seriously. Within 2 weeks after its removal she'd gained 2 whole pounds (big deal for such a small dog!).
I think you just need a vet to come out and take a look then...and I hope it isn't anything too serious. The information the vet can provide will well be worth any $$$ you have to spend. Weight loss in a horse that IS being fed properly is a sure sign of something else at play. I don't think it has anything to do with worms though - not if you have been faithful in a routine. If the food goes down, even if the horse had teeth issues - it should not be losing weight. Unless it is under a lot of stress from pain...I am curious as to what the issue is...so please keep us posted on what the vet says.
As I posted, just because they finish their grain and don't lose food out of their mouths, doesn't mean there isn't a tooth issue. Our gelding with the broken tooth showed no signs of eating problems, just lost weight. Broken tooth, take it out, he is gaining weight daily now.