Since the first evidence of a decline in dementia incidence was reported in 2011, the focus on modifiable risk factors has increased. The possibility of risk factor intervention as a prevention strategy has been widely discussed; however, further evidence in relation to risk factors is still needed. The Prospective Epidemiologic Risk Factor (PERF I) study was an observational prospective study of postmenopausal Danish women who were initially examined between 1999 and 2001 (n = 5855). Follow-up data on diagnosis and survival as of December 31, 2014 was retrieved from the National Danish Patient Registry and the National Danish Causes of Death Registry. Cox proportional hazards regression model was applied to calculate adjusted hazard ratios (HR) for selected risk factors for dementia. Of 5512 eligible subjects, 592 developed dementia within the follow-up period of maximum 15 years. The independent factors associated with increased risk of all-cause dementia were depression (HR = 1.75 [95% CI 1.32-2.34]) and impaired fasting glucose levels. A dose-response relationship was observed between fasting glucose level and risk of dementia with HRs of 1.25 [1.05-1.49] and 1.45 [1.03-2.06] for impaired (5.6-6.9 mmol/L) and hyperglycemic (≥7.0 mmol/L) glucose levels, respectively. The factors associated with a decreased risk of dementia were overweight in late-life (HR = 0.75 [0. 62-0.89]) and physical activity at least once weekly (HR = 0.77 [0.61-0.96]). The identified risk factors for dementia in women in late-life are all considered modifiable. This supports the notion that prevention strategies may improve the poor future prospects for dementias in the ageing population.