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Many animal taxa that display sexual size dimorphism (SSD) exhibit a positive allometric relationship in which the degree of dimorphism increases with body size. This macroevolutionary pattern is known as Rensch's rule. Although sexual selection is hypothesized to be the main mechanism causing this pattern, body size is influenced by several selective forces, including natural and sexual selection. Therefore, by focusing exclusively on SSD one cannot ascertain which of these selective forces drives Rensch's rule. If sexual selection is indeed the main mechanism underlying Rensch's rule, we predict that other sexually selected traits, including coloration-based ornaments, will also exhibit interspecific allometric scaling consistent with Rensch's rule. We tested this prediction using wing pigmentation of 89 species of dragonflies. Studies show that male wing pigmentation is generally under strong intra- and intersexual selection, so that sexual dichromatism in this trait should follow Rensch's rule. Conversely, the available evidence suggests that male body size is usually not sexually selected in dragonflies, so we do not expect SSD to follow Rensch's rule. First, we found that sexual dichromatism in wing pigmentation was consistent with Rensch's rule. The phylogenetic major axis regression slope was significantly greater than one. We also showed that the allometric slope for SSD was not different from unity, providing no support for Rensch's rule. Our results provide the first evidence that a trait which appears to be under strong sexual selection exhibits a pattern consistent with Rensch's rule.