Aims To investigate the best glucose monitoring strategy for maintaining euglycaemia by comparing self‐monitoring of blood glucose with continuous glucose monitoring, with or without an alarm function. Methods A 100‐day, randomized controlled study was conducted at four European centres, enrolling 160 patients with Type 1 or Type 2 diabetes, on multiple daily insulin injections or continuous subcutaneous insulin infusion. Participants were randomized to continuous glucose monitoring without alarms (n = 48), continuous glucose monitoring with alarms (n = 49) or self‐monitoring of blood glucose (n = 48). Results Time spent outside the glucose target during days 80–100 was 9.9 h/day for the continuous glucose monitoring without alarms group, 9.7 h/day for the continuous glucose monitoring with alarms group and 10.6 h/day for the self‐monitoring of blood glucose group (P = 0.18 and 0.08 compared with continuous glucose monitoring without and with alarms, respectively).The continuous glucose monitoring with alarms group spent less time in hypoglycaemia compared with the self‐monitoring of blood glucose group (1.0 h/day and 1.6 h/day, respectively; 95% CI −1.2 to −0.1; P = 0.030). Among those treated with continuous subcutaneous insulin infusion, time spent outside the glucose target was significantly different when comparing continuous glucose monitoring without alarms and self‐monitoring of blood glucose (−1.9 h/day; 95% CI −3.8 to 0.0; P = 0.0461) and when comparing continuous glucose monitoring with alarms and self‐monitoring of blood glucose (−2.4 h/day; 95% CI −4.1 to −0.5; P = 0.0134). There was no difference in HbA1c reduction from baseline in the three groups; however, the proportion of participants with a reduction of ≥ 6 mmol/mol (≥ 0.5%) was higher in the continuous glucose monitoring without alarms (27%) and continuous glucose monitoring with alarms groups (25%) than in the self‐monitoring of blood glucose group (10.6%). Conclusions This study shows that the use of continuous glucose monitoring reduces time spent outside glucose targets compared with self‐monitoring of blood glucose, especially among users of insulin pumps. What's new? In this study, time spent outside glucose target was not significantly different between continuous glucose monitoring with and without alarm groups. The proportion of participants with an HbA1c concentration reduction ≥ 6 mmol/mol (≥ 0.5%) was similar in the two continuous glucose monitoring groups. This indicates that, for certain individuals, continuous glucose monitoring without alarms may be as beneficial and safe as continuous glucose monitoring with alarms compared with conventional self‐monitoring of blood glucose. High frequency of alarms, especially false alarms, may lead to alarm fatigue, making users less likely to respond appropriately.