Background: It is unknown whether extremely high high-density lipoprotein cholesterol (HDL-C) has a protective effect against diabetes, which plays a key role in cardiovascular disease. Methods: In a community-based cohort study of 387,642 subjects (40–68 years old) without diabetes, the incidence of diabetes 6 years later was determined according to baseline HDL-C (≤39, 40–49, 50–59, 60–69, 70–79, 80–89, 90–99, 100–109, or ≥110 mg/dL). Results: At baseline, HDL-C ≥100 mg/dL was present in 12,908 subjects (3.3%), who had a better lipid profile and a high prevalence of heavy alcohol consumption and habitual exercise. The incidences of diabetes according to baseline HDL-C were 14.7, 11.2, 7.7, 5.3, 3.8, 2.8, 2.7, 2.5, and 3.5 per 1000 person-years, respectively. The adjusted relative risks (ARRs) for diabetes showed concave relationships with HDL-C, with minima at 80–89 mg/dL. The ARR (95% CI) of the lowest HDL-C category was 1.56 (1.40–1.74) and of the highest HDL-C category was 1.46 (1.18–1.81) (both p < 0.001), regardless of alcohol consumption. The latter ARR was higher in men (n = 219,047) (2.45 (1.70–3.53), p < 0.0001) after adjustment for baseline glycemic index. Conclusion: Both extremely high and low HDL-C represent risks for diabetes, which deserves further study.