Low bone mineral density (BMD) is frequent in HIV infection regardless of the use of antiretroviral therapy (ART). Uncertainties remain, however, as to when in HIV infection BMD screening should be performed. We designed a prospective study to estimate the efficacy of universal BMD screening by dual-energy X-ray absorptiometry (DXA). Since April 2009 through March 2011, HIV patients attending our Center were offered femoral/lumbar DXA to screen BMD. Low BMD for chronological age, that is significant osteopenia, was defined as a Z-score ≤ -2.0 at femur and lumbar spine. Nontraumatic bone fractures (NTBFs) were evaluated. The final sample included 163 patients. A Z-score ≤ -2.0 at any site was observed in 19.6% of cases: among these, 18.8% had no indication to DXA using current Italian HIV guidelines for BMD screening. A lower femoral Z-score was independently associated with lower BMI, AIDS diagnosis, HCV co-infection, antiretroviral treatment, and NTBFs; a lower lumbar Z-score with age, BMI, Nadir CD4 T-cell counts, and NTBFs. Prevalence of NTBFs was 27.0%, predictors being male gender, HCV co-infection, and lower femoral Z-scores. Our results suggest that measuring BMD by DXA in all HIV patients regardless of any further specification may help retrieving one-fifth of patients with early BMD disorders not identified using current criteria for selective screening of BMD.