Women are, on average, more often absent from work for health reasons than men, but live longer. This conflicting pattern suggests that the gender absenteeism gap arises partly from factors unrelated to objective health. An overlooked explanation is that men and women might have different preferences for absenteeism due to different attitudes to, for example, risk. Using detailed administrative data on absenteeism, hospitalizations, and mortality, we evaluate the existence of gender‐specific preferences for absenteeism and analyze whether these differences are socially determined. We find robust evidence of gender differences in absenteeism that cannot be explained by poorer objective health among women. Copyright © 2016 John Wiley & Sons, Ltd.