Cognitive functions allow us to perform complex tasks on a day-to-day basis. When we move or want to perform a functional task, not only the integrity of the motor systems is needed, but also those cognitive functions that help plan and execute movement in challenging environments. Currently, the physical therapy of people with Parkinson’s disease, little by little, integrates the cognitive abilities of patients to the motor rehabilitation of the disease. Most studies to date have proven the effectiveness of this dual-task integration in mild or moderate stages of the disease. However, in more serious stages, we do not fully know the effectiveness of physical rehabilitation in patients who already have dementia or cognitive impairment. This chapter aims to review the latest findings in this regard, to know what are the implications of dementia in Parkinson’s disease on the motor performance, and to unravel the new lines of study that researchers and clinicians should follow in the area of physical rehabilitation in advanced stages of Parkinson’s disease.