This paper is drawn from a doctoral thesis (Rosa, 2008) that examines the relations established between the construction of online identities and the teaching and learning of the definite integral concept in an online learning course. The role-playing game (RPG) is played out through chat and calls for the creation of characters (online identities) by each player. In the research process on online learning in mathematics education, Rosa (2008) discusses the role of the construction of online identities. We characterise how this process, in a general way, draws on qualitative research processes and, in a specific way, is linked to the construction of mathematical knowledge in cyberspace. We discuss who the research subjects are in mathematics education research. The results suggest that: (a) cyberspace is a natural environment in an online RPG context; (b) the playful process in online learning in mathematics education brings important new aspects to our understanding of mathematical knowledge as a social construction; (c) the investigation becomes a game; (d) research subjects are who they want to be while they are in flow, that is, there is intentionality; (e) the challenge of research methodology inside cyberspace must be faced by researchers; and (f) the researcher needs to consider those different identities as integral to the research process.