Prophylactic low molecular weight heparin (pLMWH) is currently recommended in COVID-19 to reduce the risk of coagulopathy. The aim of this study was to evaluate whether the antinflammatory effects of pLMWH could translate in lower rate of clinical progression in patients with COVID-19 pneumonia. Patients admitted to a COVID-hospital in Rome with SARS-CoV-2 infection and mild/moderate pneumonia were retrospectively evaluated. The primary endpoint was the time from hospital admission to orotracheal intubation/death (OTI/death). A total of 449 patients were included: 39% female, median age 63 (IQR, 50-77) years. The estimated probability of OTI/death for patients receiving pLMWH was: 9.5% (95% CI 3.2-26.4) by day 20 in those not receiving pLMWH vs. 10.4% (6.7-15.9) in those exposed to pLMWH; p-value = 0.144. This risk associated with the use of pLMWH appeared to vary by PaO2/FiO2 ratio: aHR 1.40 (95% CI 0.51-3.79) for patients with an admission PaO2/FiO2 ≤ 300 mmHg and 0.27 (0.03-2.18) for those with PaO2/FiO2 > 300 mmHg; p-value at interaction test 0.16. pLMWH does not seem to reduce the risk of OTI/death mild/moderate COVID-19 pneumonia, especially when respiratory function had already significantly deteriorated. Data from clinical trials comparing the effect of prophylactic vs. therapeutic dosage of LMWH at various stages of COVID-19 disease are needed.