The beneficial effects of physical activity (PA) in patients with COPD, as well as the methods of their assessment, are well known and described. As objective measures of PA, such as the use of motion sensors, video recordings, exercise capacity testing, and indirect calorimetry, are not easily obtained in the daily clinical life, the reliability of the more accessible self-reported measurements of PA is important. In this review, we systematically identified original studies involving COPD patients and at least one parameter of self-reported and objective exercise testing, and analyzed every article for coherence between the objectively and self-reported measured PA. The studies are few, small, and very diverse, both in their use of questionnaires and objective measurements. Self-reported assessments were found to generally overestimate the level of PA compared to measurements made objectively by activity monitors; however, more studies are needed to rely solely on the use of PA questionnaires in COPD patients. The most accurate and valid questionnaires appear to be the self-completed Physical Activity Scale for the Elderly and the interviewer-completed Stanford Seven-Day Physical Activity Recall Questionnaire, but the ideal questionnaire still awaits construction. The motion sensors are accurate and validated in this patient group, especially SenseWear™, but not easily accessible in clinical practice, as they have various technical and adhesive difficulties.