Major histocompatibility complex (MHC) class-I molecules (or Human Leucocyte Antigen class-I) play a key role in adaptive immunity against cancer. They present specific tumor neoantigens to cytotoxic T cells and provoke an antitumor cytotoxic response. The total or partial loss of HLA molecules can inhibit the immune system’s ability to detect and destroy cancer cells. Loss of heterozygosity (LOH) is a common irreversible genetic alteration that occurs in the great majority of human tumors, including breast cancer. LOH at chromosome 6, which involves HLA genes (LOH-HLA), leads to the loss of an HLA haplotype and is linked to cancer progression and a weak response to cancer immunotherapy. Therefore, the loss of genes or an entire chromosomal region which are critical for antigen presentation is of particular importance in the search for novel prognostic and clinical biomarkers in breast cancer. Here, we review the role of LOH-HLA in breast cancer, its contribution to an understanding of cancer immune escape and tumor progression, and discuss how it can be targeted in cancer therapy.