Smoking is still a major cardiovascular risk factor, despite many public awareness campaigns and dedicated interventions. Recently, modified risk products (MRP), e.g., heat-not-burn cigarettes (HNBCs), have been introduced as surrogates of traditional combustion cigarettes (TCCs). Although these products are promoted as healthier than TCCs, few studies have been conducted to assess it. This work is a sex-focused sub-study of a prospective observational study in which apparently healthy chronic TCC smokers were age-matched with regular HNBC users. Blood samples were collected for biochemical assays and blood pressure and flow-mediated dilation (FMD) were measured. Out of 60 subjects, 33 (55%) were women, and 27 (45%) men, with 11 (33%) vs. 9 (33%) non-smokers, respectively, 10 (30%) vs. 10 (37%) TCC smokers, and 12 (36%) vs. 8 (30%) HNBC smokers (p = 0.946). Bivariate and multivariable analyses showed no statistically significant between-sex differences in NO, H2O2, sCD40L, sNox2-dp, sP-selectin, platelet aggregation, cotinine or FMD, overall, in non-smokers, in TCC smokers, or in HNBC smokers (all p > 0.05). HNBCs appeared safer than TCCs when focusing on Nox2-dp (p = 0.026) and sP-selectin (p = 0.050) but had similar levels of the other measured markers. In conclusion, HNBCs have similar detrimental effects on women and men’s oxidative stress (H2O2: p = 0.49; sNox2-dp: p = 0.31) and platelet activation (sP-selectin: p = 0.33; platelet aggregation p = 0.87).