Recent linear regression analyses have concluded that decreasing levels of fine particulate matter (PM2.5) air pollution have increased life expectancy in the United States. These findings have left unresolved questions about the causal relation between reductions in PM2.5 levels and changes in cause-specific (especially, cardiovascular disease, CVD) mortality risks. Their robustness (e.g., sensitivity to deletion of a single data point) has also been questioned. We investigate these issues in the National Mortality and Morbidity Air Pollution Study database. Comparing changes in PM2.5 levels and cause-specific mortality rates for elderly people in 24 cities between two periods separated by a decade (1987–1989 and 1999–2000) shows that reductions in PM2.5 were significantly associated with increases in respiratory mortality rates and with decreases in CVD mortality rates. CVD and all-cause mortality risks fell equally for all months of the year over this period, but average PM2.5 levels increased significantly for winter months. This casts doubts on the causal interpretation that declines in PM2.5 over the decade caused reduced short-term mortality risks. Nonlinear regression suggests that reduced or negative marginal health benefits are associated with reductions of PM2.5 below 1999–2000 levels (about 15 μg/m3). Such nonlinear relations imply that risk communication statements that project a constant incremental reduction in mortality risks per unit reduction in PM2.5 do not adequately reflect the realistic possibility of nonlinear exposure-response relations and diminishing returns to further exposure reductions.