We assessed the proportions and causes of the underreporting of deaths among people living with HIV (PLHIV) in Rio de Janeiro, Brazil, from 2014 to 2019. Demographic variables, mention of tuberculosis (TB), and CD4 cell counts closest to death were used to compare those who had HIV/AIDS mentioned on their death certificate (HMDC) to those who did not. Out of 10,698 deaths, 2,863 (26.8%) had no HMDC, from which 412 (14.4%) had external underlying cause. After excluding deaths from external causes, we found that 24% still had no HMDC. Age ≥ 40 years (OR = 1.75; 95%CI: 1.52-2.01), non-white race/ethnicity (OR = 1.16; 95%CI: 1.02-1.31), the male gender (OR = 1.25; 95%CI: 1.11-1.42), higher CD4 cell counts closest to death (OR = 1.14; 95%CI: 1.12-1.16), absence of TB (OR = 4.86; 95%CI: 3.76-6.29) and not dying within a hospital (OR = 2.61; 95%CI: 2.31-2.95) were associated with increased probabilities of not having HMDC. The proportion of deaths with no HMDC increased from 18.7% to 35.1% between 2014 and 2019. The high proportion of underreported deaths in Rio de Janeiro indicates that HIV/AIDS mortality coefficients in the state may be underestimated. With the changing patterns of mortality of PLHIV, physicians are advised to consider the broader clinical spectrum of HIV infection, and surveillance officers should improve death monitoring.