Comparatively optimistic people feel that they are less susceptible to risks than are others. This study investigated predictors and outcomes of comparative optimism about privacy risks on Facebook. Results from a nationally representative survey of adult U.S. Facebook users (N = 1,156) show that users exhibit comparative optimism in believing that they are less susceptible to privacy risks than are average users. However, unlike prior findings in offline contexts, this study finds that comparatively optimistic Facebook users do not appear to engage in riskier privacy behaviors. The findings of this study shed light on how privacy decision‐making may be different in social networking contexts compared to other contexts due to the networked nature of the communication platform.