Weight lost in a sauna is usually water weight, which means you'll gain it all back as soon as you drink fluids to replenish yourself. You may burn calories by heating yourself up, but that can prove to be dangerous.
You burn calories all the time, even when at rest. A sauna will elevate your heart rate. Over the period of time you elevate your heart rate in the sauna you will burn more calories than at rest. Prove it to yourself by taking a heart rate monitor into a sauna. Yes it is dangerous, too much exposure to heat and dehydration are bad for your health.