Surfaces enabling directional drop self‐transport have exceptional applications in digital microfluidics, chemical analysis, bioassay, and microreactor technology. While such properties have been obtained by engineering a surface with anisotropic microstructures, a microscopic liquid residue—though it might be invisible macroscopically—is generally left behind the transported drop, resulting in undesired transport loss and severely limiting practical applications of the surface. Here, the origin of microscopic liquid residue is studied by investigating directional drop self‐transport on anisotropic surfaces made of radially arranged omniphobic microstripes. It is revealed that the occurrence of a liquid residue is governed by a transport‐velocity‐dependent dynamic wetting mechanism involving the formation of entrained thin liquid films at high capillary numbers while the local dynamic receding contact angle vanishes. Rayleigh‐like breakup of the liquid films leads to the microscopic liquid residue. It is further shown that a liquid‐like coating featuring highly flexible molecular chains can effectively suppress the formation of entrained liquid films at high transport velocities, thereby facilitating lossless and fast drop self‐transport on anisotropic omniphobic surfaces.