There is increasing awareness amongst the general public about exposure to atmospheric pollution while travelling in urban areas especially when taking active travelling modes such as walking and cycling. This study presents a comparative investigation of ultrafine particles (UFP), PM10, PM2.5, PM1 exposure levels associated with four transport modes (i.e., walking, cycling, car, and subway) in the city of Milan measured by means of portable instruments. Significant differences in particle exposure between transport modes were found. The subway mode was characterized by the highest PM mass concentrations: PM10, PM2.5, PM1 subway levels were respectively about 2-4-3 times higher than those of the car and open air active modes (i.e. cycling and walking). Conversely, these latter modes displayed the highest UFP levels about 2 to 3 times higher than the subway and car modes, highlighting the influence of direct traffic emissions. The car mode (closed windows, air conditioning and air recirculation on) reported the lowest PM and UFP concentration levels. In particular, the open-air/car average concentration ratio varied from about 2 for UFP up to 4 for PM1 and 6 for PM10 and PM2.5, showing differences that increase with increasing particle size. This work points out that active mode travelling in Milan city centre in summertime results in higher exposure levels than the car mode. Walkers’ and cyclists’ exposure levels is expected to be even higher during wintertime, due to the higher ambient PM and UFP concentration. Interventions intended to re-design the urban mobility should therefore include dedicated routes in order to limit their exposure to PM and UFP by increasing their distance from road traffic.