Background: Cyclin-dependent kinase 4/6 inhibitors (CDK4/6 i), abemaciclib, palbociclib, and ribociclib, have been FDA-approved for the treatment of hormone receptor-positive (HR+), HER2−negative (HER2−) advanced breast cancer (aBC). This targeted therapy has revived hope in those aBC patients who did not respond to standard therapies. Interestingly, when administered as a single agent, CDK4/6 modulated several peripheral blood cells after a short-course treatment of 28 days. However, the impact of these immune effects has yet to be thoroughly investigated. Methods: We administered abemaciclib, palbociclib, and ribociclib monotherapy to 23 patients with HR+/HER2− metastatic breast cancer. The aim is to investigate the impact of on-treatment modifications on peripheral blood cells and their composite scores in patients after a 28-day course of CDK4/6 i alone. Results: In the current study, we observed a significant decrease in neutrophils (p-value < 0.001) for patients treated with abemaciclib, palbociclib, and ribociclib. An overall decrease of Tregs was observed and potentially linked to palbociclib treatment. The neutrophile to lymphocyte (N/L) ratio was also decreased overall and potentially linked to abemaciclib and palbociclib treatment. Platelets were decreased in patients administered with abemaciclib. Notably, the radiometabolic response was available only for those patients treated with ribociclib and abemaciclib, and only those lesions treated with ribociclib reached statistical relevance. Conclusions: Our study strongly supports the notion that CDK4/6 inhibitors induce tumour immune modulation. N/L ratio and platelet levels decreased due to treatment. Future studies should test whether patients would benefit from immunomodulators in association with CDK4/6 agents in a larger clinical trial. Moreover, the CDK4/6-induced immune modulation could also be considered a potential predictive clinical factor in HR+/HER2− advanced breast cancer.