Audiobooks your purchased from Audible are in AA/AAX format, you can only play them with Audible designated devices and players.
M4A is another widely supported format which can be used for audiobook, if you can convert Audible AA/AAX audiobooks to M4A, you can then play the audiobooks anywhere you want.
Follow below steps and learn how to convert Audible AA/AAX audiobooks to M4A.
The Lossless refers to M4A format. Audiobook converter also supports converting Audible aa/aax audiobooks to other formats like MP3, M4B, AC3, AAC, FLAC, OGG, AIFF and WAV. Click Options - Advanced to change output format.
Bookmarks work with M4A format. If you choose other format, such as MP3, bookmarks are not available.