There is increasing recognition that the sex chromosomes, X and Y, play an important role in health and disease that goes beyond the determination of biological sex. Loss of the Y chromosome (LOY) in blood, which occurs naturally in aging men, has been found to be a driver of cardiac fibrosis and heart failure mortality. LOY also occurs in most solid tumors in males and is often associated with worse survival, suggesting that LOY may give tumor cells a growth or survival advantage. We analyzed LOY in lung adenocarcinoma (LUAD) using both bulk and single-cell expression data and found evidence suggesting that LOY affects the tumor immune environment by altering cancer/testis antigen expression and consequently facilitating tumor immune evasion. Analyzing immunotherapy data, we show that LOY and changes in expression of particular cancer/testis antigens are associated with response to pembrolizumab treatment and outcome, providing a new and powerful biomarker for predicting immunotherapy response in LUAD tumors in males.