We address the important question of whether the newly discovered exoplanet, Proxima Centauri b (PCb), is capable of retaining an atmosphere over long periods of time. This is done by adapting a sophisticated multi-species MHD model originally developed for Venus and Mars, and computing the ion escape losses from PCb. The results suggest that the ion escape rates are about two orders of magnitude higher than the terrestrial planets of our Solar system if PCb is unmagnetized. In contrast, if the planet does have an intrinsic dipole magnetic field, the rates are lowered for certain values of the stellar wind dynamic pressure, but they are still higher than the observed values for our Solar system's terrestrial planets. These results must be interpreted with due caution, since most of the relevant parameters for PCb remain partly or wholly unknown.