I think the issue is what do you want to happen when the query has no results. If this is an exceptional case then I would wrap the query in a try/catch block and handle the exception that the standard query generates. If it's ok to have the query return no results, then you need to figure out what you want the result to be in that case. It may be that @David's answer (or something similar will work). That is, if the MAX will always be positive, then it may be enough to insert a known "bad" value into the list that will only be selected if there are no results. Generally, I would expect a query that is retrieving a maximum to have some data to work on and I would go the try/catch route as otherwise you are always forced to check if the value you obtained is correct or not. I'd rather that the non-exceptional case was just able to use the obtained value.
Try
Dim x = (From y In context.MyTable _
Where y.MyField = value _
Select y.MyCounter).Max
... continue working with x ...
Catch ex As SqlException
... do error processing ...
End Try