(1) Background: In the context of cancer incurability, the communication processes involving clinicians and patients with cancer are frequently complex. (2) Methods: A cross-sectional study that investigated outpatients with advanced cancers and their oncologists. Both were interviewed immediately after a medical appointment in which there was disease progression and/or clinical deterioration, and were asked about the patient’s chance of curability and the goals of the prescribed cancer treatment. The patients were asked whether they would like to receive information about prognosis and how they would like to receive it. The analyses of agreement on perceptions were performed using the Kappa’s test. (3) Results: the sample consisted of 90 patients and 28 oncologists. Seventy-eight (87.6%) patients answered that they wanted their oncologist to inform them about their prognosis; only 35.2% (n = 31) of them said they received such information at their present appointment. Regarding how they would prefer prognostic disclosure, 61.8% (n = 55) mentioned that the oncologist should consider ways to keep the patient’s hope up; 73% (n = 65) of the patients reported odds >50% of cure. The agreement between oncologists’ and their patients’ perceptions regarding the treatment goals and curability was slight (k = 0.024 and k = 0.017, respectively). (4) Conclusions: The perceptions of patients and their oncologists regarding the goals of treatment and their chances of cure were in disagreement. New approaches are needed to improve the communication process between oncologists and patients with advanced cancer.