Identification of modifiable risk factors for breast cancer is critical for primary prevention of the disease. The aim of this study was to evaluate how certain lifestyle variables modify the chances of developing breast cancer based on menopausal status. A case-control study was performed in a group of 542 women, 197 who were diagnosed with breast cancer and 344 control individuals. The groups were matched by age, body mass index, and menopausal status. Participants were evaluated for level of physical activity, alcohol consumption, smoking habit, weight, height, and waist circumference (WC). A multivariate logistic regression model was used to estimate odds ratios and 95% confidence intervals (95% CI). Regular consumption of alcoholic beverages (2.91, 95% CI 1.58–5.38 and 1.86, 95% CI 1.15–3.03) and sedentary behavior (2.08; 95% CI 1.12–3.85 and 1.81; 95% CI 1.12–2.94) were associated with breast cancer risk in pre- and postmenopausal women, respectively. High WC (3.31, 95% CI 1.45–7.55) was associated with an increased risk of developing breast cancer in premenopausal women. While in postmenopausal women, current smoking (2.43, 95% CI 1.01–5.83) or previous history of smoking (1.90; 95% CI 1.14–3.14) increased the chances of developing breast cancer. Sedentary behavior and current consumption of alcoholic beverages were more likely to increase the risk of developing breast cancer regardless of menopausal status.