CDK4/6 inhibitors (CDK4/6i) are recommended in patients with estrogen receptor (ER)-positive, HER2-negative advanced breast cancer (ABC). Up to now, no prognostic biomarkers have been identified in this setting. We retrospectively analyzed the expression of progesterone receptor (PR) and Ki67, assessed by immunohistochemistry, in 71 ABC patients treated with CDK4/6i and analyzed the impact of these markers on progression-free survival (PFS). The majority of patients 63/71 (88.7%) received palbociclib, 4 (5.6%) received ribociclib, and 4 (5.6%) received abemaciclib. A higher median value of Ki67 was observed in cases undergoing second-line treatment (p = 0.047), whereas the luminal B subtype was more prevalent (p = 0.005). In the univariate analysis of the first-line setting, luminal A subtype showed a trend towards a correlation with a longer PFS (p = 0.053). A higher continuous Ki67 value led to a significantly shorter PFS. When the interaction between pathological characteristics and line of treatment was considered, luminal B subtype showed a significantly (p = 0.043) worse outcome (Hazard Ratio (HR) 2.84; 1.03–7.82 95% Confidence Interval (CI)). PFS in patients undergoing endocrine therapy plus CDK4/6i was inversely correlated with Ki67 expression but not with PR, suggesting that tumor proliferation has a greater impact on cell cycle inhibitors combined with endocrine therapy than PR expression.