HIV pre-exposure prophylaxis (PrEP) enables female sex workers (FSWs) to protect themselves from HIV without relying on clients using condoms. Yet, because PrEP reduces HIV risk, financial incentives to not use condoms may lead to risk compensation: reductions in condom use and/or increases in commercial sex, and may reduce the price of unprotected sex. In this analysis, we integrate market forces into a dynamic HIV transmission model to assess how risk compensation could change the impact of PrEP among FSWs and clients. We parameterise how sexual behaviour may change with PrEP use among FSWs using stated preference data combined with economic theory. Our projections suggest the impact of PrEP is sensitive to risk compensatory behaviours driven by changes in the economics of sex work. Condom substitution could reduce the impact of PrEP on HIV incidence by 55%, while increases in the frequency of commercial sex to counter decreases in the price charged for unprotected sex among PrEP users could entirely mitigate the impact of PrEP. Accounting for competition between PrEP users and non-users exacerbates this further. Alternative scenarios where increases in unprotected sex among PrEP users are balanced by decreases in non-PrEP users have the opposite effect, resulting in PrEP having much greater impact. Intervention studies need to determine how HIV prevention products may change the economics of sex work and provision of unprotected sex to enable a better understanding of their impact.