Pleural effusions are a common finding in critically ill patients and small bore chest drains (SBCD) are proven to be efficient for pleural drainage. The data on the potential benefits and risks of drainage remains controversial. We aimed to determine the cut-off volume for complications, to investigate the impact of pleural drainage and drained volume on clinically relevant outcomes. Medical records of all critically ill patients undergoing insertion of SBCD were retrospectively examined. We screened 13,003 chest radiographs and included 396 SBCD cases in the final analysis. SBCD drained on average 900 mL, with less amount in patients with complications (p = 0.003). A drainage volume of 975 mL in 24 h represented the optimal threshold for complications. Pneumothorax was the most frequent complication (4.5%), followed by bleeding (0.8%). Female and lighter-weighted patients experienced a higher risk for any complication. We observed an improvement in the arterial partial pressure of oxygen and respiratory quotient (p < 0.001). We conclude that the small drainage volumes are associated with complications in critically ill patients—the more you drain, the safer the procedure gets. The use of SBCD is a safe and efficient procedure, further investigations regarding the higher rate of complications in female and lighter-weighted patients are desirable.