No, the games just disappear from the shop and can no longer be bought via Steam. When you are already own them, you keep them. Third party seller might sometimes also still sell remaining Steam Key inventory and thus offer a way to activate a delisted game on Steam.

One area where content can disappear is music licenses, those often don't result in a complete delisting of the game, but just the music getting patched out of the game. In those cases, the music would be gone for everybody, as Steam game updates are mandatory and you can't downgrade the game to a previous version either. Unofficial mods will sometimes address this issue and add the music back in.