The player can control a squad of up to 19 marines, and if one is lost, he or she is gone forever. When all 19 are gone, there are no more continues.
Losing to a xenomorph isn't always instant death, mind you; sometimes your current marine will be captured and cocooned, but they can be rescued by comrades. Some captured humans will be selected as hosts for facehuggers, though, and at that point that marine is effectively dead (even if it's a matter of time before they realize it).
Conventional game design wisdom says "don't alienate gamers by making games tough," but difficulty seems to be a basic selling point of Infestation. Few modern games exact a strong penalty for failure, but it's possible to bungle Infestation so badly that you simply can't win. This is hardly a new idea, but it's definitely unusual to see it integrated into such a large, open-ended adventure.
