Chronic obstructive pulmonary disease (COPD) is a common comorbidity of heart failure (HF), but remains often undiagnosed, and we aimed to identify symptoms predicting COPD in HF. As part of an observational, prospective study, we investigated stable smokers with a confirmed diagnosis of HF, using the 8-item COPD-Assessment-Test (CAT) questionnaire to assess symptoms. All the items were correlated with the presence of COPD, and logistic regression models were used to identify independent predictors. 96 HF patients were included, aged 74, 33% with COPD. Patients with HF and COPD were more symptomatic, but only breathlessness when walking up a hill was an independent predictor of COPD (odds ratio = 1.33, p = 0.0484). Interestingly, COPD-specific symptoms such as cough and phlegm were not significant. Thus, in elderly smokers with stable HF, significant breathlessness when walking up a hill is most indicative of associated COPD, and may indicate the need for further lung function evaluation.