The neutron and proton drip lines represent the limits of the nuclear landscape. While the proton drip line is measured experimentally up to rather high $Z$-values, the location of the neutron drip line for absolute majority of elements is based on theoretical predictions which involve extreme extrapolations. The first ever systematic investigation of the location of the proton and neutron drip lines in the covariant density functional theory has been performed by employing a set of the state-of-the-art parametrizations. Calculated theoretical uncertainties in the position of two-neutron drip line are compared with those obtained in non-relativistic DFT calculations. Shell effects drastically affect the shape of two-neutron drip line. In particular, model uncertainties in the definition of two-neutron drip line at $Z∼ 54, N=126$ and $Z∼ 82, N=184$ are very small due to the impact of spherical shell closures at N=126 and 184. ; Comment: 6 pages, 4 figures, Physics Letters B, in press