Lilies require lots of sunlight to flourish. Even during the warm summer months, they tend to lose their lower leaves. These bulbs were forced to grow out of their natural growing season. Winter sunlight isn't as intense as summer sunlight, so your Orientals are shedding its lower leaves to compensate. Rather than expending more energy trying to sustain them. Once the blooms have faded, I would trim them off and leave the foliage intact, so they can store up as much energy as possible in their bulbs. I'm not sure how they'll react to growing out of season. I would recommend giving them direct sunlight, if possible. As well as regularly fertilizing them, until the foliage dies back on its own.