Objective Cholesterol efflux capacity (CEC) is the ability of high‐density lipoprotein (HDL) cholesterol to accept cholesterol from macrophages. Lipid profiles and CEC appear to be altered in patients with systemic lupus erythematosus (SLE) and rheumatoid arthritis (RA) due to disease activity and inflammation. CEC has been linked to cardiovascular events in the general population and to subclinical atherosclerosis in SLE and RA patients. The aim of this study was to establish whether CEC varies between patients with SLE and those with RA. Methods The study encompassed 460 individuals (195 SLE patients and 265 patients with RA). CEC (using an in vitro assay) and concentrations of lipoprotein serum were assessed in both populations. A multivariable regression analysis was performed to study whether CEC differs between SLE patients and RA patients. Results Comparison of lipid patterns revealed that patients with RA have lower HDL cholesterol and higher apolipoprotein B serum levels than SLE patients. CEC was downregulated in SLE patients compared to patients with RA (β –12 95% confidence interval –13, –10, P < 0.001). It occurred independently of traditional cardiovascular risk factors, statin use, disease‐related data, and other variations in the lipid profile related to the diseases. Conclusion Patients with RA have a more proatherogenic lipid pattern compared to those with SLE. However, CEC seems to be more damaged in SLE patients than in RA patients.