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HIV-incidence studies are used to identify at-risk populations for HIV-prevention trials and interventions, but loss to follow-up (LTFU) can bias results if participants who remain differ from those who drop out. We investigated the incidence of and factors associated with LTFU among Zambian female sex workers (FSWs) in an HIV-incidence cohort from 2012 to 2017. Enrolled participants returned at month one, month three and quarterly thereafter. FSWs were considered LTFU if they missed six consecutive months, or if their last visit was six months before the study end date. Of 420 FSWs, 139 (33%) were LTFU at a rate of 15.7 per 100 person years. In multivariable analysis, LTFU was greater for FSWs who never used alcohol, began sex work above the age of consent, and had a lower volume of new clients. Our study appeared to retain FSWs in most need of HIV-prevention services offered at follow-up. [ABSTRACT FROM AUTHOR]