Hello,
I received a Ficus Retusa in June and it was loosing its leaves.
I have tried to put it outside to see it it would be better and it was indeed not loosing its leaves anymore and seem to be good.

Now it is winter so it is back inside and again loosing leaves. Does not seem to be dying since it is creating new ones.
Temp right now is about 21°C and 40% humidity.

Would anyone have an idea?

That is what happens to ficus when in livingroom conditions in winter.

Most people just accept it and bring them outdoors to recover come spring. If you want to prevent it, keep it in a place with humidity above 80% at all times.

40% humidity is very dry, 80% will be perfect but mostly not possible without some problems, 55-60% is sufficient.
At the wintertime the light is most important for your Ficus, you can keep it in the Room at 21 C but you need a very bright spot at a south, west or east-faced Window, sometimes its not enough and you need an extra growlight ?!
You can also located at a cooler spot , down to 10 C is possible and an growlight is not necessary.
I strored some Ficuses at 9-12 C at the window without an noticeable leaves fall, i strored some also around 20 C , some like it and some dont, without growlight some start with leaves fall around Christmas.
Dont forget .. less leaves means less watrering.