Kiiiind of tough to say, because in his canon, Phibrizzo was prepared to destroy the universe. There really isn't any person or thing he's deeply attached to - even his own existence. He's a shady little so and so who would probably try to find loopholes anyway. (For example, only using part of his name rather than his true name of Hellmaster Phibrizzo)

Honestly, the most effective way of making him miserable would be to make someone who was overwhelmingly positive and compassionate unkillable and compelled to follow Phibrizzo everywhere he went.

Loss would be less effective than gaining something that will weaken him and make him feel sick all the time.

If it has to be loss, he's rather proud of his hellhound puppy and likes it more than he likes most people.