Radiological and functional sequelae of Coronavirus Disease 2019 (COVID-19) pneumonia are still poorly understood. This was a prospective, observational, physiological, cohort study on consecutive adult patients with COVID-19 pneumonia admitted in April–May 2020 in the high dependency respiratory unit of L. Sacco University Hospital in Milan (Italy). During hospitalization, patients underwent chest computed tomography (CT), blood gas analysis, spirometry, and lung diffusion capacity for carbon monoxide (DLco), which were repeated 6 weeks post-discharge. Chest CTs were individually read by two expert radiologists, that calculated the total severity score (TSS). Twenty patients completed the study (mean age 58.2 years, 70% males). During the acute phase, mean DLco, alveolar volume (VA), and vital capacity (VC) were 56.0 (16.3), 64.8 (14.0), and 71.7 (16.9) % predicted, respectively, and were inversely associated with PaO2/FiO2 ratio. Fifty percent of patients had a restrictive ventilatory pattern; mean TSS was 7.9 (4.0). At follow up, gas exchange parameters were normalized; consolidations persisted in 10% of cases, while DLco was <80% predicted in 65% of patients and was independently predicted by Log10D-dimer at admission (β −18.675; 95%CI, −28.373–−9.076; p = 0.001). In conclusion, functional abnormalities in COVID-19 pneumonia survivors can persist during follow up and are associated with the severity of the disease.