Never heard of a limit myself. You'll most likely be limited by what your hardware can support.

There is not a Windows limit AFAIK though you do start running into address space issues and driver issues when getting up there. 8 or less is pretty easy to do, more than that and you need to be careful in your hardware selection. Good thread here: https://community.amd.com/thread/197524

SuperServer 2048U-RTR14 complete
11 PCI-E slots
That's a $19,012.36 system without the graphic cards.
Way too rich for me.

Thanks for the replies.  I got my hands on an ASUS ESC4000 G2 recently and a spare mobo from ebay.  Its a dual LGA 2011 machine built for GPUs.  While it physically holds up to 4 GPUs in the 2U server case, I have a Tesla S1070 1U (also holds 4 GPUs) that can expand the system with using PCIe X16 interface cards that link it up to the ESC400 machine.  With up to four of those Tesla S1070 units I (theoretically) could run up to 16 GPUs (with some loss in PCI lanes per GPU of course).  Worst case if Windows bugs out with all of that madness I could try just running Windows VM's on it.