This article explores risk conceptions related to alcohol use among Danes who drink ‘too much’ (based on the National Health Board’s standards for safe drinking). It analyses drinking patterns and risk management strategies among interviewees from different socio-economic backgrounds, and explores the differences between the behaviours and conceptions of these individuals and the risk advice and definitions provided by health agencies. The article shows that people from different socio-economic backgrounds respond differently to the neo-liberal strategy of alcohol risk minimisation, with middle- and upper-class participants being more in tune with the public health ethos of alcohol consumer ‘autonomisation’ and ‘responsibilisation’. Cutting across socio-economic differences, though, are risk conceptions that clash with the public health model of risk prevention. While the risk communication of the health agencies builds on the logic of ‘a will to health’, drinkers at relatively high consumption levels tend to prefer other rationales, associating alcohol use with socialisation, pleasure and relaxation, and defining alcohol risks in terms of ‘addiction’ rather than detrimental health effects. The article contributes to the discussion of the ‘prevention paradox’, showing that rational initiatives at a general population level are not always comprehended as such at the individual level.