Unrealistic Optimism in the context of COVID-19 is described as the tendency to perceive peers as being more at risk of infection. To date, however, no research has proposed more specific comparisons. The present article not only replicates the most recent body of literature showing that people perceive themselves as less prone to COVID-19 infection than their peers, but fills the aforementioned gap by providing additional and more specific comparisons between those vaccinated and unvaccinated against COVID-19. Such comparisons may be crucial to curb the possibility of resurgence of COVID-19 by assessing how unvaccinated individuals perceive the probability of being infected by coronavirus. Some 622 Prolific—(un)vaccinated against COVID-19—users participated in an online quasi-experiment. Participants estimated the risk of COVID-19 infection for themselves, their peers or the average (un)vaccinated peer, which is a new addition to the literature. Results showed that there was an unrealistic optimism effect. Participants estimated their risk for infection as lower in comparison to others. Surprisingly, results showed that for unvaccinated people, vaccines seem to be an effective tool to reduce the risk of infection, but not for themselves.