"Are you pondering what I'm pondering Pinky?"
"Wuhhh... I think so, Brain, but if a ham can operate a radio, why can't a pig set a VCR?"
I believe the answer is yes, you do lose your weapon. You can opt to not use the bonus effects of your cards, but all of your cards are subject to dungeon effects.
I think what you mean is all of your cards are subject to "Battle" effects, not Dungeon effects.
This is an official answer:
Indeed, all cards in your hand are subject to the Battle Effects of a dungeon, used or not.