Many countries have been affected by the worldwide outbreak of COVID‐19. Among Western countries, Italy has been particularly hit at the beginning of the pandemic, immediately after China. In Italy and elsewhere, women seem to be less affected than men by severe/fatal COVID‐19 infection, regardless of their age. Although women and men are affected differently by this infection, very few studies consider different therapeutic approaches for the two sexes. Understanding the mechanisms underlying these differences may help to find appropriate and sex specific therapies. Here, we consider that other mechanisms are involved to explain this difference, in addition to the protection attributable to oestrogens. Several X‐linked genes (such as ACE2) and Y‐linked genes (SRY and SOX9) may explain sex differences. Cardiovascular comorbidities are among the major enhancers of virus lethality. In addition, the number of sex‐independent, non‐genetic factors that can change susceptibility and mortality is enormous, and many other factors should be considered, including gender and cultural habits in different countries.