Reducing uncertainties in the air–sea CO2 flux calculations is one of the major challenges when addressing the oceanic contribution in the global carbon balance. In traditional models, the air–sea CO2 flux is estimated using expressions of the gas transfer velocity as a function of wind speed. However, other mechanisms affecting the variability in the flux at local and regional scales are still poorly understood. The uncertainties associated with the flux estimates become particularly large in heterogeneous environments such as coastal and marginal seas. Here, we investigated the air–sea CO2 exchange at a coastal site in the central Baltic Sea using 9 years of eddy covariance measurements. Based on these observations we were able to capture the temporal variability in the air–sea CO2 flux and other parameters relevant for the gas exchange. Our results show that a wind-based model with a similar pattern to those developed for larger basins and open-sea conditions can, on average, be a good approximation for k, the gas transfer velocity. However, in order to reduce the uncertainty associated with these averages and produce reliable short-term k estimates, additional physical processes must be considered. Using a normalized gas transfer velocity, we identified conditions associated with enhanced exchange (large k values). During high and intermediate wind speeds (above 6–8 m s−1), conditions on both sides of the air–water interface were found to be relevant for the gas exchange. Our findings further suggest that at such relatively high wind speeds, sea spray is an efficient mechanisms for air–sea CO2 exchange. During low wind speeds (<6 m s−1), water-side convection was found to be a relevant control mechanism. The effect of both sea spray and water-side convection on the gas exchange showed a clear seasonality with positive fluxes (winter conditions) being the most affected.