Lung cancer (LC) is the leading cause of cancer death in men and the second leading cause in women worldwide. The use of low-dose computed tomography in early diagnosis was shown to reduce mortality by 20% with a median follow-up time of 6.5 years. In order to increase profitability and reduce radiation risks and costs, exhaled biomarkers could serve to help establish narrower inclusion criteria. The aim of this study was to identify new, well-founded volatile organic compounds in exhaled breath which distinguish LC patients from chronic obstructive pulmonary disease (COPD) patients and healthy subjects. There were 210 subjects enrolled and divided into three groups: control group (n = 89), COPD group (n = 40 stable COPD patients) and LC group (n = 81 with histological confirmation). Exhaled breath samples were collected using BioVOC® breath sampler devices. The analytical technique used was thermal desorption-gas chromatography-mass spectrometry. The compounds studied were hexanal, heptanal, octanal, nonanal, propanoic and nonanoic acids. Nonanoic acid showed statistically significant differences between the LC group and the other groups. It is 2.5 times and almost 9 times more likely to be found in the LC group than in the control group or COPD group, respectively. It is independent of histology but depends on tumour stage.