Since the desired result was provided in another answer,
I thought it might be helpful to visualize the conservation-of-total-4-momenta
as a problem in hyperbolic trigonometry, which reveals some physically
interesting quantities that are not normally featured.
The goal is to get setup the problem exactly,
then systematically apply simplifying approximations to obtain an approximate formula (which could be useful for other problems).
---It's about the process, not just this approximate formula.
My approach is based on my answer to a similar problem
Transformation of the Lorentz factor when a relativistic particle partially absorbs energy from a photon?
The conservation of total-4-momenta can be drawn as a polygon on an energy-momentum diagram (with energy running upward).
\begin{align}
\tilde {\bf p_1} + \tilde{\bf \gamma} &= \tilde {\bf p_2} + \tilde{\bf q}\\
\tilde {\bf OM} + \tilde{\bf MN} &= \tilde {\bf OM'} + \tilde{\bf M'N}\\
\end{align}
The OP is looking for the lab-frame's energy-component of the change in the 4-momentum of the proton, $\tilde{\bf MM'}$, which is a spacelike chord on the mass-shell of the proton.
The "threshold condition" means that the outgoing particles are at rest with respect to each other. Vectorially, this means $\tilde {\bf p_2} =f \tilde{\bf q}$ (their 4-momenta are parallel), where $f=m_p/m_{\pi}$, the ratio of their rest-masses.
Geometrically, this means "$O$, $M'$, and $N$ are collinear", and thus
the polygon that would have been a quadrilateral reduces to a triangle in this case.
Furthermore, this means that the "invariant mass" of the system is equal to the sum of the rest-masses of the outgoing particles: $N=m_p+m_{\pi}$.
In the spirit of the Bondi k-calculus, since $\tilde{\bf\gamma} =\tilde{\bf MN}$ is future-lightlike and $\tilde{\bf OM}$ and $\tilde{\bf ON}$ are future-timelike,
we can immediately write
\begin{equation}N=\exp(\theta_i -\theta_f) m_p,\end{equation}
where $\exp(\theta_i -\theta_f)$ is the reciprocal of $k_{rel}=\exp(\theta_f -\theta_i)$, the relative-Doppler factor written in terms of the relative-rapidity. In my opinion, the beauty of this is that
$$k_{rel}=\exp\theta_{rel}=\frac{1}{\exp(\theta_i-\theta_f)}=\frac{m_p}{N}=\frac{m_p}{m_p+m_{\pi}}$$
Since $k=\sqrt{\frac{1+v}{1-v}}$, we have $v=\frac{k^2-1}{k^2+1}$.
So, $k_{rel}<1$ implies $v_{rel}<0$--that is, the final particle is slower.
In hindsight, it is interesting to note that $$k_{rel}-1= \left(-\frac{m_{\pi}}{m_p+m_{\pi}}\right).$$
Sidebar: proof of the Bondi-like relation
- Conservation of 4-momentum componentwise:
\begin{align}
m_p\cosh\theta_f + m_{\pi}\cosh\theta_f &= m_p\cosh\theta_i + (\phantom{-}\epsilon) \\
m_p\sinh\theta_f + m_{\pi}\sinh\theta_f &= m_p\sinh\theta_i + (- \epsilon)
\end{align}
By addition,
$$(m_p+m_{\pi}) \exp\theta_f = m_p \exp\theta_i,$$
which is equivalent to $N=\exp(\theta_i -\theta_f) m_p$... essentially the Doppler effect.
By subtraction,
$$(m_p+m_{\pi}) \exp(-\theta_f) = m_p \exp(-\theta_i)+2\epsilon.$$
When this is multiplied with the "equation gotten from addition", one obtains essentially the square magnitude of the total 4-momentum.
These are essentially the conservation laws written in light-cone coordinates (an eigenbasis of the Lorentz boost).
Back to the OP's problem:
\begin{align}
\frac{\Delta E}{E}=\frac{(MM')_t}{(OM)_t}
&=\frac{\epsilon-m_{\pi}\cosh\theta_f}{m_p\cosh\theta_i}
&=\frac{\epsilon-m_{\pi}\cosh(\theta_i+\theta_{rel})}{m_p\cosh\theta_i}
\end{align}
is the exact result, but is likely rather messy to proceed.
And we might need information about $\theta_i$ (about the initial proton velocity in the lab frame).
- (UPDATE) Here is a slightly different way to proceed before making an approximation, as was done in the ORIGINAL section.
\begin{align}
\frac{\Delta E}{E}
&=\frac{\epsilon-m_{\pi}\cosh(\theta_i+\theta_{rel})}{m_p\cosh\theta_i}\\
&=\frac{\epsilon}{m_p\cosh\theta_i}
-\frac{m_{\pi}}{m_p} \left(\frac{\cosh\theta_i \cosh\theta_{rel}+\sinh\theta_i \sinh\theta_{rel}}{\cosh\theta_i}\right)\\
&=\frac{\epsilon}{m_p\cosh\theta_i}
-\frac{m_{\pi}}{m_p} \left(\cosh\theta_{rel}+\tanh\theta_i \sinh\theta_{rel} \right)
\end{align}
Now invoke the ultra-relativistic condition so that $\tanh\theta_i \approx 1$ and use the identity $\exp\theta=\cosh\theta+\sinh\theta$ to get
\begin{align}
\frac{\Delta E}{E}
&\approx\frac{\epsilon}{m_p\cosh\theta_i}
-\frac{m_{\pi}}{m_p} \exp\theta_{rel}
\end{align}
- (ORIGINAL) However, if we now invoke the ultra-relativistic condition, then
$\theta_i, \theta_f \gg 1$,
which implies that $\exp\theta\gg 1$ and thus
$\exp\theta \approx 2\cosh\theta$.
\begin{align}
\frac{\Delta E}{E}\approx
\frac{\epsilon-m_{\pi}2\exp(\theta_i+\theta_{rel})}{m_p 2\exp\theta_i}
&= \frac{\frac{1}{2}\epsilon\exp(-\theta_i)-m_{\pi}\exp(\theta_{rel})}{m_p}
\end{align}
Using the condition that $\epsilon\exp(-\theta_i) \ll m_{\pi}$ (either small $\epsilon/m_{\pi}$, initially ultra-relativistic proton, or both),
we further approximate as
\begin{align}
\frac{\Delta E}{E}\approx
\frac{-m_{\pi}\exp(\theta_{rel})}{m_p}
=\frac{-m_{\pi}\left( \frac{m_p}{m_p+m_{\pi}} \right)}{m_p}
\stackrel{\checkmark}{=}\frac{-m_{\pi}}{m_p+m_{\pi}}.
\end{align}
(Maybe $k_{rel}-1$ can be shown to naturally here, together with a physical interpretation.)
Hopefully, this is useful (it was to me) to see the approximate formula
arise from an exact formulation of the spacetime geometric interpretation of the conservation laws applied in this particle process.