The function input() always returns a string, to work with other types of data we need to manipulate this string, so we go in parts.

Receive multiple values

We can solve this problem with different approaches, example:

Receiving all values at once.

We can receive a string with all the values separated by whitespace and use the str.split() to "break" this string in a list of strings. Example:

linha = input("Digite os valores separados por espaço")
# ex.: '1 2 3 4 5'
valores = linha.split()
# ['1', '2', '3', '4', '5']

If you want to convert all values to integer you can use:

• A for to iterate on the values, convert the value, and then add to the result list with list.append().

  linha = input("Digite os valores separados por espaço")
  valores = []
  
  for valor in linha.split():
      valores.append(int(valor))
  

• The function map to apply a function to all items in an iterable and create a new list with the result of the function for each position of the list.

  linha = input("Digite os valores separados por espaço")
  valores = linha.split()
  valores_convertidos = map(int, valores)
  

• A list comprehension to iterate and convert all values:

  linha = input("Digite os valores separados por espaço")
  valores = linha.split()
  valores_convertidos = [int(valor) for valor in valores]
  

Getting one value at a time

You can receive an indefinite number of inputs by using a loop and setting a stop criterion.

For example, receive integers while the user enters valid values:

valores = []

while True:
    try:
        linha = int(input("Digite um número:"))
    except ValueError:
        print("Valor inválido, saindo do loop")
        break

    valores.append(linha)

In the above code I am creating an "infinite" loop that will repeat itself while the conversion of user input to int does not fail. When it fails it will launch a ValueError running the break inside except

Receiving a specific number of variables with pre-defined types

You can receive a specific number of inputs using the function range() as you yourself posted in your question:

valores = []

for _ in range(5):
    valor = input("Digite algo: ")
    valores.append(valor)

The next step is to define the types of data we should receive. We could use integers or even strings to define data types.

Example:

# 0: int
# 1: str
# 2: float
tipos = [0, 1, 1, 0, 2]
valores = []

for tipo in tipos:
    valor = input("Digite algo: ")

    if tipo == 0:
        valores.append(int(valor))
    elif tipo == 1:
        valores.append(valor)  # já é string
    elif tipo ==2:
        valores.append(float(valor))
    else:
        print("Tipo inválido, nenhum valor adicionado")

I'm not going to go much deeper into the improvements that could be made in the above code as it's just a demonstration of how it could be done.

Instead of having multiple if for each type you would like to have, you could use a list of functions that receive a string and return the type you want. In python, functions are "first class citizens" , that means you can pass them as parameters to other functions, assign them to variables, etc...

Then it is possible to do something like:

meu_int = int
valor = meu_int("10")
print(valor)  # 10

Applying this concept, redoing the example and removing the if would be:

tipos = [int, str, str, int, float]
valores = []

for tipo in tipos:
    valor = input("Digite algo: ")
    valores.append(tipo(valor))

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This way you are specifying that you want the user to enter 5 values, they being an integer, 2 strings, 1 integer, and 1 float, respectively. Not to mention that you can create your own functions or classes that receive a string as input and return an object of the type you want.

Conclusion

Since the subject is generic, it turned out that the answer got a little broad, but the important thing is that you understand that there are several approaches to the same problem and I hope I have given enough material for you to have a starting point for new studies and new questions.