Mammals contribute to important ecosystem processes and services, but many mammalian species are threatened with extinction. We compare how global patterns in three measures of mammalian diversity—species richness, phylogenetic diversity (PD) and body mass variance (BMV)—would change if all currently threatened species were lost. Given that many facets of species' ecology and life history scale predictably with body mass, the BMV in a region roughly reflects the diversity of species' roles within ecosystems and so is a simple proxy for functional diversity (FD). PD is also often considered to be a proxy for FD, but our results suggest that BMV losses within ecoregions would be much more severe than losses of PD or species richness, and that its congruence with the latter two measures is low. Because of the disproportionate loss of large mammals, 65 per cent of ecoregions would lose significantly more BMV than under random extinction, while only 11 per cent would lose significantly more PD. Ecosystem consequences of these selective losses may be profound, especially throughout the tropics, but are not captured by PD. This low surrogacy stresses a need for conservation prioritization based on threatened trait diversity, and for conservation efforts to take an ecosystem perspective.