We study the gender differences in aversion to COVID-19 exposure. We use a natural experiment of the 2020 US Open which was organised in the country with the highest number of COVID-19 cases and deaths and was the first major professional tennis tournament after the season was paused for six months. We analyse the gender gap in the propensity to voluntarily withdraw because of COVID-19 concerns among players who were eligible and fit to play. We find that female players are significantly more likely to withdraw from the 2020 US Open. While players from countries characterised by higher trust, higher patience, and lower risk taking are more likely to withdraw, female players exhibit significantly higher aversion to pandemic exposure also if cross-country differences in preferences are accounted for. About 15% of the probability to withdraw explained by our model can be attributed to gender.