Background: There is little literature on the paraneoplastic value of the absence of long-lasting morning stiffness (MS) at the time of diagnosis of polymyalgia rheumatica (PMR). We investigated whether and to what extent this finding was related to the probability of diagnosing a neoplasia. Patients and Methods: This was an observational, retrospective, single-center cohort study. We enrolled all patients consecutively referred to our rheumatologic outpatient clinic between January 2015 and December 2020, who could be classified as PMR according to 2012 EULAR/ACR criteria. In particular, we assessed all patients scoring a minimum of five points with a combination of clinical and ultrasound (US) criteria. The exclusion criteria were as follows: (a) follow-up duration <two years; (b) malignancy prior to PMR; (c) first-degree familiarity of malignancy; (d) incomplete data; and (e) diagnostic change during follow-up in different rheumatologic diseases. Results: 143 patients (108 women; median age: 71.5 years) were enrolled, and 35 of them did not have long-standing MS at the time of PMR diagnosis. In 10 patients (6.9%), a neoplasia was diagnosed in the first 6 months of follow-ups; among these, 7 did not have long-lasting MS. Among the remaining 133 PMR patients without subsequent malignancy, 28 did not have long-lasting MS. The odds of cancer were 0.114 (C.I. 95% 0.028, 0.471). Long-lasting MS was inversely associated with the development of neoplasias. In all eight PMR patients diagnosed with solid cancers during follow-ups, the removal of the neoplastic mass led to a fast disappearance of clinical, ultrasound and laboratory findings, thus supporting the diagnosis of paraneoplastic PMR. Finally, a positive response to glucocorticoids (GCs) was present in 100% of the 28 PMR patients without long-lasting MS at the time of diagnosis and without neoplasia during their follow-ups. On the contrary, a positive response to GCs was present in 71% of PMR patients without long-lasting MS and neoplasias during follow-up. Among the variables we assessed, a positive response to GCs was the only one that was statistically significant (p < 0.0001). These data suggested that an inadequate response to GCs in PMR patients without long-lasting MS at the time of diagnosis should strengthen investigations to rule out neoplasias. Conclusions: The absence of long-standing MS at the time of diagnosis can be a paraneoplastic warning in patients classified as PMR. A thorough investigation is therefore needed in this subset of patients to rule out neoplasia, before diagnosing an idiopathic PMR and starting treatment with GCs.