Weight loss occurs frequently in patients with chronic obstructive pulmonary disease (COPD). Although the precise cellular mechanisms underlying weight loss in COPD are unclear, this is a clinically relevant phenomenon because it contributes to limit the exercise capacity of these patients and, therefore, it jeopardizes their quality of life. More importantly, it is a negative prognostic factor that is independent of the degree of lung function impairment present. Thus, weight loss in COPD constitutes a new therapeutic target. This article reviews the mechanisms and potential consequences of weight loss in COPD and highlights areas that needed future research. It is hoped that a better understanding of its pathogenesis may eventually contribute to the development of new therapeutic strategies that contribute to improve the well-being and/or long-term prognosis of patients suffering from this devastating disease and, potentially, from others characterized also by unexplained weight loss.