In Japan, the tobacco industry promotes heated tobacco products (HTPs) as a reduced-risk tobacco product. This study examines: (1) smokers’ harm perceptions of HTPs relative to combustible cigarettes; (2) differences in relative harm perceptions between exclusive smokers and smokers who use HTPs (concurrent users) and between concurrent users based on frequency of product use; and (3) if smokers who were exposed to HTP advertising hold beliefs that are consistent with marketing messages of lower harmfulness. This cross-sectional study included 2614 adult exclusive cigarette smokers and 986 concurrent users who reported their perceptions of harmfulness of HTPs compared to cigarettes, as well as their exposure to HTP advertising in the last six months. Among all smokers, 47.5% perceive that HTPs are less harmful than cigarettes, 24.6% perceive HTPs to be equally as harmful, 1.8% perceive HTPs as more harmful, and 26.1% did not know. Concurrent users are more likely than exclusive smokers to believe that HTPs are less harmful (62.1% versus 43.8%, p < 0.0001) and less likely to report that they did not know (14.3% versus 29.4%, p < 0.0001). Frequent HTP users are more likely than infrequent users to believe that HTPs are less harmful (71.7% versus 57.1%, p ≤ 0.001). Believing that HTPs are less harmful than cigarettes was associated with noticing HTP advertising on TV (p = 0.0005), in newspapers/magazines (p = 0.0001), on posters/billboards (p < 0.0001), in stores where tobacco (p < 0.0001) or where HTPs (p < 0.0001) are sold, on social media (p < 0.0001), or in bars/pubs (p = 0.04). HTP users were significantly more likely than non-HTP users to believe that HTPs are less harmful than cigarettes, with this belief being more prominent among frequent users. Smokers who have been exposed to HTP advertising were more likely to perceive HTPs as less harmful than cigarettes.