Rates of biodiversity loss are clearly associated with a reduction in the extent of original habitat. The most frequently used method to derive such estimates comes from the well-known species–area relationship. We explored the relationship between habitat loss and area for the Brazilian mammal fauna on a biome level (Atlantic Forest, Cerrado and the Brazilian portion of the Amazon basin), as well as on a smaller regional scale (the Rio Doce Valley of the Atlantic Forest). Habitat loss overestimates the number of threatened species when the entire species pool is considered (endemics and wide-ranging species). Restricting the analyses to the endemic species, the predicted extinction as a function of habitat loss in the Atlantic Forest and in the Cerrado is found to be greater than the number of taxa actually listed as threatened. This relation is reversed in the Amazon. When considering only the localized species pool for the Rio Doce Valley region of the Atlantic Forest, the function accurately predicts the number of extinctions resulting from habitat loss. We suggest that there is both theoretical and empirical evidence to suggest that threat analysis will generate more accurate estimates of species loss when conducted on a more local scale, particularly for the fauna of non-insular, continental regions. Furthermore, other phenomena affecting the likelihood of extinction of certain groups of species, such as hunting, need to be taken into account in order to better understand the dynamics of biodiversity loss.