Sex-specific endocrine and immune responses are widely recognized to account for differential disease outcomes between females and males. Surprisingly, sex-specific risk assessments for influenza, a viral pathogen that affects human populations worldwide through seasonal epidemics and irregular occurring pandemics, are sparse and—if available—ambiguous. To date, this precludes proposing an unequivocal sex-dependent susceptibility to influenza. However, one undisputable observation recurrently confirmed during influenza seasons of the last decades is the significantly increased risk for pregnant women. This increased risk is likely attributable to the contradictory demands for the maternal immune system to adapt to pregnancy and to simultaneously mount an immune response to clear the influenza virus infection. Here, we review published evidence on the potential association between sex on influenza risk and propose that future epidemiologic studies should carefully dissect surveillance data for sex-specific effects. Moreover, we propose potential mechanisms involved in enhanced risk for severe influenza during pregnancy that could be studied to identify causal pathways.