Background: One of the main features of COVID-19 pneumonia is hypoxemic acute respiratory failure (ARF), often requiring ventilatory support. The influence of chest physiotherapy in patients with ARF is not extensively studied. The aim of the study was to analyze the short-time effects of chest physiotherapy using a 10 cm H2O threshold valve in patients with COVID-19 and ARF. Methods; Quasi-experimental cross-sectional study, in hospitalized patients from March to May 2020. The fractions of inspired oxygen, oxygen saturation, heart rate, respiratory rate and dyspnea were collected before and after the starting session (day 1) and after the 5th day of therapy. Results: The final sample size included 125 patients. Significant differences (p < 0.01) were found in the pre-post intervention SpO2/FiO2 ratio (250 ± 88.4 vs. 275.6 ± 97.5, p < 0.001), reaching 354.4 ± 110.2 after 5 days of therapy (p < 0.001 with respect to the baseline). The respiratory and heart rate dyspnea level did not change during the intervention. In patients needing FiO2 > 0.4, the SpO2/FiO2 ratio improvement was higher than in patients with milder severity (46.85 ± 77.69, p < 0.01). Conclusions: Chest physiotherapy with a 10 cm H2O threshold valve seems to be a safe and tolerated intervention with short-term improvement in oxygenation in patients with COVID-19 pneumonia.