This article focuses on the study of consumers with social anxiety who avoid relationships in commercial settings. While relationship marketing recommends fostering personal relationships with customers, our research shows that too much closeness can be a problem for people with social anxiety who are apprehensive about interacting with strangers. A qualitative study based on 17 in‐depth interviews with individuals with social anxiety allows us to specify the contexts that give rise to social anxiety—physical closeness between consumer and salesperson, when the interaction is relatively long, in new situations, or in situations designed to be repeated. Our study shows that social anxiety has psychological, economic, and time costs for the consumer. Additionally, the study sets out the relational preferences of people with social anxiety, showing that they prefer neutral, distant or anonymous relationships, that they do not like or benefit from special treatment, nor do they like to be surprised by novelty. The conventional recommendations of relational marketing (e.g., creating a close relationship with customers) are partly called into question by this study, which shows that not all individuals necessarily want such relationships in a commercial context. Copyright © 2016 John Wiley & Sons, Ltd.