diff --git a/doc/source/whatsnew/v0.23.0.txt b/doc/source/whatsnew/v0.23.0.txt
index 32f7447e5ef77..8d20d7b6b78bd 100644
--- a/doc/source/whatsnew/v0.23.0.txt
+++ b/doc/source/whatsnew/v0.23.0.txt
@@ -966,6 +966,7 @@ Other API Changes
 - Constructing a Series from a list of length 1 no longer broadcasts this list when a longer index is specified (:issue:`19714`, :issue:`20391`).
 - :func:`DataFrame.to_dict` with ``orient='index'`` no longer casts int columns to float for a DataFrame with only int and float columns (:issue:`18580`)
 - A user-defined-function that is passed to :func:`Series.rolling().aggregate() <pandas.core.window.Rolling.aggregate>`, :func:`DataFrame.rolling().aggregate() <pandas.core.window.Rolling.aggregate>`, or its expanding cousins, will now *always* be passed a ``Series``, rather than a ``np.array``; ``.apply()`` only has the ``raw`` keyword, see :ref:`here <whatsnew_0230.enhancements.window_raw>`. This is consistent with the signatures of ``.aggregate()`` across pandas (:issue:`20584`)
+- Rolling and Expanding types raise ``NotImplementedError`` upon iteration (:issue:`11704`).
 
 .. _whatsnew_0230.deprecations:
 
diff --git a/pandas/core/window.py b/pandas/core/window.py
index 5fd054b1930e6..015e7f7913ed0 100644
--- a/pandas/core/window.py
+++ b/pandas/core/window.py
@@ -181,6 +181,10 @@ def __unicode__(self):
         return "{klass} [{attrs}]".format(klass=self._window_type,
                                           attrs=','.join(attrs))
 
+    def __iter__(self):
+        url = 'https://github.com/pandas-dev/pandas/issues/11704'
+        raise NotImplementedError('See issue #11704 {url}'.format(url=url))
+
     def _get_index(self, index=None):
         """
         Return index as ndarrays
diff --git a/pandas/tests/test_window.py b/pandas/tests/test_window.py
index 93f637a561718..d8e90ae0e1b35 100644
--- a/pandas/tests/test_window.py
+++ b/pandas/tests/test_window.py
@@ -512,6 +512,14 @@ def test_multi_index_names(self):
         tm.assert_index_equal(result.columns, df.columns)
         assert result.index.names == [None, '1', '2']
 
+    @pytest.mark.parametrize('klass', [pd.Series, pd.DataFrame])
+    def test_iter_raises(self, klass):
+        # https://github.com/pandas-dev/pandas/issues/11704
+        # Iteration over a Window
+        obj = klass([1, 2, 3, 4])
+        with pytest.raises(NotImplementedError):
+            iter(obj.rolling(2))
+
 
 class TestExpanding(Base):
 
@@ -590,6 +598,14 @@ def test_missing_minp_zero(self):
         expected = pd.Series([np.nan])
         tm.assert_series_equal(result, expected)
 
+    @pytest.mark.parametrize('klass', [pd.Series, pd.DataFrame])
+    def test_iter_raises(self, klass):
+        # https://github.com/pandas-dev/pandas/issues/11704
+        # Iteration over a Window
+        obj = klass([1, 2, 3, 4])
+        with pytest.raises(NotImplementedError):
+            iter(obj.expanding(2))
+
 
 class TestEWM(Base):