Introduction: Retention in preventive care among at-risk men who have sex with men (MSM) is critical for successful prevention of HIV acquisition in Africa. We assessed loss to follow-up (LTFU) rates and factors associated with LTFU in an HIV vaccine feasibility cohort study following MSM with access to pre-exposure prophylaxis (PrEP) in coastal Kenya. Methods: Between June 2017 and June 2019, MSM cohort participants attending a research clinic 20 km north of Mombasa were offered daily PrEP and followed monthly for risk assessment, risk reduction counselling and HIV testing. Participants were defined as LTFU if they were late by >90 days for their scheduled appointment. Participants who acquired HIV were censored at diagnosis. Cox proportional hazards models were used to estimate adjusted Hazard Ratio (aHR) of risk factors for LTFU. Results and discussion: A total of 179 participants with a median age of 25.0 years (interquartile range [IQR]: 23.0 to 30.0) contributed a median follow-up time of 21.2 months (IQR: 6.5 to 22.1). Of these, 143 (79.9%) participants started PrEP and 76 (42.5%) MSM were LTFU, for an incidence rate of 33.7 (95% confidence interval [CI], 26.9 to 42.2) per 100 person-years. Disordered alcohol use (aHR: 2.3, 95% CI, 1.5 to 3.7), residence outside the immediate clinic catchment area (aHR: 2.5, 95% CI, 1.3 to 4.6 for Mombasa Island; aHR: 1.8, 95% CI, 1.0 to 3.3 for south coast), tertiary education level or higher (aHR: 2.3, 95% CI, 1.1 to 4.8) and less lead-in time in the cohort prior to 19 June 2017 (aHR: 3.1, 95% CI, 1.8 to 5.6 for zero to three months; aHR: 2.4, 95% CI, 1.2 to 4.7 for four to six months) were independent predictors of LTFU. PrEP use did not differ by LTFU status (HR: 1.0, 95% CI, 0.6 to 1.5). Psychosocial support for men reporting disordered alcohol use, strengthened engagement of recently enrolled participants and focusing recruitment on areas close to the research clinic may improve retention in HIV prevention studies involving MSM in coastal Kenya. Conclusions: About one in three participants became LTFU after one year of follow-up, irrespective of PrEP use. Research preparedness involving MSM should be strengthened for HIV prevention intervention evaluations in coastal Kenya.