For severe polytrauma patients with an early AKI requiring renal replacement therapy, anticoagulation remains a great challenge. Due to a high bleeding risk, hemodynamic instability, and increased lactate levels, continuous modality (CKRT) and citrate anticoagulation seem to be the most appropriate. However, their safety with regard to the potential risk of impaired citrate metabolism is not documented. A retrospective study of 60 severe polytrauma patients admitted to the emergency department between January 2000 and December 2021 was conducted; the patients requiring CKRT during the first 72 h were treated with citrate (n. 46, group Citrate) or with heparin (n. 14, group Heparin). Out of 60 patients, 31 survived (51.7%). According to logistic regression analysis, age and SOFA score were significant predictors of mortality. The incidence of rhabdomyolysis was more common in the survivors (77.4 vs. 51.7%), and Kaplan–Meyer analysis showed a better trend towards survival at 90 days for the group Citrate than the group Heparin (p 0.0956). In the group Citrate, hemorrhagic episodes were significantly less common (0.045 vs. 0.273 episodes/day, p < 0.001); the effective duration (h/day) of CKRT was longer; and the effective net ultrafiltration rate (mL/kg/h) and blood flow rate were lower. For severe polytrauma patients, early, soft CKRT with citrate anticoagulation at a low blood flow rate and circuit citratemia showed a better safety and hemodynamic stability, suggesting that citrate should be the first choice anticoagulant in this subset of patients.