H1B not picked in lottery - Is it considered as visa denial for Canada PR application?

I have worked in the US for four years, from 2014 to 2018. In 2016 and 2017, my company filed for my H1B visa but it did not get picked in the lottery. Does this count as a visa denial and does it need to be mentioned while submitting the Canada Express Entry PR application?

No. it is not. considered as an application. only 85,000 H1B application are considered per year and you were not one of them. You sat in a lottery to get selected for ability to make an application. But, you never made an application.