Cancer patients may commit suicide at any stage of the disease and many risk factors of suicide have been described in the literature. To identify the possible vulnerability factors of suicide in five terminal cancer patients who committed suicide while they were cared for at home by well-trained palliative care teams, a psychological autopsy study was carried out by reviewing their medical records; their report of symptoms at the time of care; and with the caregivers', doctors', and nurses' recollection of events by means of a structured interview prepared ad hoc. We collected data regarding the physical, emotional, and social suffering of the patients, their personality profile, and their feelings with respect to the illness and disability. The interviews lasted for a mean of two hours and were performed from 2–8 years after the suicide events by the social worker at the Rehabilitation and Palliative Care Division. The interviews took place between June 1996 and January 1998. All the patients showed great concern about the lack of autonomy and independence, refused dependence on others and had fear/worry of losing their autonomy. Four patients presented functional and physical impairments, uncontrolled pain, awareness of being in the terminal stage, and mild to moderate depression. They had a feeling of hopelessness consequent to their clinical conditions, fear of suffering, and feeling of being a burden on others. They had a strong character and managerial professions. They had isolated themselves from others and they had previously talked about suicide. Before committing suicide, three patients had adverse physical/emotional consequences to the oncological treatments—they showed aggressiveness towards their family and one towards the home care physician. Multiple vulnerability factors were present simultaneously in all patients. However, the loss of, and the fear of losing, autonomy and their independence and of being a burden on others were the most relevant. The identification of a cancer patient at risk of committing suicide forms the first step for the prevention of and the setting up of adequate psychosocial rehabilitation of these patients whenever possible.