Using the HIV Incident Risk Index for men who have sex with men-an objective and validated measure of risk for HIV acquisition, and self-perceptions of belief and worry about acquiring HIV, we identified individuals who underestimated substantial risk for HIV. Data from a racially/ethnically diverse cohort of 324 HIV-negative episodic substance-using men who have sex with men (SUMSM) enrolled in a behavioral risk reduction intervention (2010-2012) were analyzed. Two hundred and fourteen (66%) SUMSM at substantial risk for HIV were identified, of whom 147 (69%, or 45% of the total sample) underestimated their risk. In multivariable regression analyses, compared to others in the cohort, SUMSM who underestimated their substantial risk were more likely to report: a recent sexually transmitted infection diagnosis, experiencing greater social isolation, and exchanging sex for drugs, money, or other goods. An objective risk screener can be valuable to providers in identifying and discussing with SUMSM factors associated with substantial HIV risk, particularly those who may not recognize their risk.