Breathlessness, also known as dyspnoea, is a debilitating and frequent symptom. Several reports have highlighted the lack of dyspnoea in a subgroup of patients suffering from COVID-19, sometimes referred to as "silent" or "happy hyp-oxaemia." Reports have also mentioned the absence of a clear relationship between the clinical severity of the disease and levels of breathlessness reported by patients. The cerebral complications of COVID-19 have been largely demonstrated with a high prevalence of an acute encephalopathy that could possibly affect the processing of afferent signals or top-down modulation of breathlessness signals. In this review, we aim to highlight the mechanisms involved in breathlessness and summarize the pathophysiology of COVID-19 and its known effects on the brain-lung interaction. We then offer hypotheses for the alteration of breathlessness perception in COVID-19 patients and suggest ways of further researching this phenomenon.