Group‐living requires a compromise between safety and direct/indirect costs for individuals. The larger is the group, the greater is the collective vigilance, leading to a greater net food intake per forager because of the time saved individually from scanning behaviour. In turn, individual alertness usually decreases with increasing group size (“group‐size effect”). Information on the occurrence of group‐size effect is still unclear. Previous studies have shown that it may fail to occur or even reverse, for example when costs of interference between conspecifics are high. In turn, assessing whether the group‐size effect would occur in weakly or seasonally gregarious species may help to understand its drivers. We evaluated the occurrence and the extent of group‐size effect in a seasonally nongregarious herbivore, the roe deer Capreolus capreolus. We examined the roles of sex/age class and season as drivers of vigilance behaviour. In roe deer, the group‐size effect did not depend on sex/age class: time spent foraging increased with increasing group size; in turn, vigilance increased with decreasing group size, in all sex/age classes. Females with fawns were the most vigilant sex/age class, thus revealing the cost of offspring protection. Accordingly, the higher spring vigilance levels of does could be related to reproductive costs (e.g., defence of newborn fawns). Conversely, the greater summer vigilance of bucks could result from patrolling/defence of territories. Both adult males and females also showed the higher vigilance in winter, likely because of an increase in the perception of predation risk and/or, possibly, hormones linked to an increase in intolerance of conspecifics, in males. However, the group‐size effect occurred in all the seasons, for adult males and females. Our findings suggest that foraging benefits provided by the group‐size effect may have overcome costs of group‐living, even in a weakly gregarious forager.