Ecological theory predicts that the diffuse risk cues generated by wide‐ranging, active predators should induce prey behavioural responses but not major, population‐ or community‐level consequences. We evaluated the non‐consumptive effects (NCEs) of an active predator, the grey wolf (Canis lupus), by simultaneously tracking wolves and the behaviour, body fat, and pregnancy of elk (Cervus elaphus), their primary prey in the Greater Yellowstone Ecosystem. When wolves approached within 1 km, elk increased their rates of movement, displacement and vigilance. Even in high‐risk areas, however, these encounters occurred only once every 9 days. Ultimately, despite 20‐fold variation in the frequency of encounters between wolves and individual elk, the risk of predation was not associated with elk body fat or pregnancy. Our findings suggest that the ecological consequences of actively hunting large carnivores, such as the wolf, are more likely transmitted by consumptive effects on prey survival than NCEs on prey behaviour.