Circulating tumor cell (CTC) count has been shown to be an independent predictor of progression in metastatic breast, prostate, and colorectal cancer. A cutpoint is generally used to identify favorable and unfavorable response groups. In this study, we propose an approach in which the number of CTCs is analyzed as a continuous predictor, to detect the shape of the relationship between CTCs and prognosis of metastatic breast cancer. We evaluated the association of baseline CTC with progression-free survival (PFS) and overall survival (OS) in a series of 80 patients treated for advanced breast cancer at the European Institute of Oncology, Milan. The association between CTCs and prognosis was analyzed with standard categorical survival analysis and spline regression models. At baseline, median age was 55 years; 33 patients were newly diagnosed with metastatic breast cancer (41%), while 28 (35%) and 19 (24%) were pretreated with one and two previous chemotherapy lines, respectively. After a median follow-up of 28 months, 76 disease progressions and 44 deaths were observed. Kaplan–Meier curves showed a clear association between CTCs and PFS (P-value 0.03) and OS (P-value < 0.01). Patients with no CTC at baseline had a significantly better prognosis. When analyzing the CTCs as a continuous variable, we found an increase in risk with increasing number of CTCs, for both PFS and OS. The increase rate lessened after approximately 5 CTCs. CTCs represent a robust prognostic factor in the metastatic breast cancer setting. A nonlinear increase in risk of both progression and death with increasing number of CTCs was observed, with a lessening increase after approximately 5 CTCs. If distinct prognostic groups are to be identified, women with no CTC could plausibly represent a distinct favorable one.