Background: The aim of this study was to assess whether procalcitonin levels is a diagnostic tool capable of accurately identifying sepsis and ventilator-associated pneumonia (VAP) even in critically ill COVID-19 patients. Methods: In this retrospective, observational study, all critically ill COVID-19 patients who survived for ≥2 days in a single university hospital and had at least one serum procalcitonin (PCT) value and associated blood culture and/or culture from a lower respiratory tract specimen available were eligible for the study. Results: Over the research period, 184 patients were recruited; 67 VAP/BSI occurred, with an incidence rate of 21.82 episodes of VAP/BSI (95% CI: 17.18–27.73) per 1000 patient-days among patients who were included. At the time of a positive microbiological culture, an average PCT level of 1.25–3.2 ng/mL was found. Moreover, also in subjects without positive cultures, PCT was altered in 21.7% of determinations, with an average value of 1.04–5.5 ng/mL. Both PCT and PCT-72 h were not linked to a diagnosis of VAP/BSI in COVID-19 patients, according to the multivariable GEE models (aOR 1.13, 95% CI 0.51–2.52 for PCT; aOR 1.32, 95% CI 0.66–2.64 for PCT-72 h). Conclusion: Elevated PCT levels might not always indicate bacterial superinfections or coinfections in a severe COVID-19 setting.