Longitudinal studies of female sex workers (FSWs) are vulnerable to loss to follow-up (LTFU) due to this population's high mobility and low willingness to self-identify as FSWs. LTFU in cohort studies is a critical problem and may lead to bias in estimation of incidence and exposure-outcome associations. The aim of this study was to analyze LTFU and HIV incidence and their associated factors in a 9-year longitudinal study of FSWs in Kaiyuan, Yunnan Province, China.