The fear of the new coronavirus infection has driven many non-COVID-19 patients away from essential healthcare. Our study aimed to investigate the perception of risk and feelings of danger for the contagion in a sample of Italian psychiatric patients. We conducted a cross-sectional observational study during the second wave of the COVID-19 pandemic and the lockdown in Italy. The risk perception and risk-related variables were assessed in a sample of 150 consecutive patients with a previous diagnosis of major depression (50), bipolar I disorder (50), and schizophrenia seeking ambulatory care using a questionnaire previously administered to the general Italian population. Our results showed that patients were more concerned about economic, psychological, and interpersonal consequences of COVID-19 pandemic, rather than about their own health. At the multiple regression analysis, the likelihood of COVID-19 resolution was positively influenced by the diagnosis of schizophrenia, the increased perceived effectiveness, and the presence of positive emotions. Indeed, positive emotions and uncertainty positively influenced interpersonal risk. Our study highlights the need to provide more support to psychiatric patients during emergency events to prevent them from engaging in risky behaviors.