While the incidence of thrombotic complications in critically ill patients is very high, in patients under non-invasive respiratory support (NIS) is still unknown. The specific incidence of thrombotic events in each of the clinical scenarios within the broad spectrum of severity of COVID-19, is not clearly established, and this has not allowed the implementation of thromboprophylaxis or anticoagulation for routine care in COVID-19. Patients admitted in a semi-critical unit treated initially with NIS, especially Continuous-Positive Airway Pressure (CPAP), were included in the study. The cumulative incidence of pulmonary embolism was analyzed and compared between patients with good response to NIS and patients with clinical deterioration that required orotracheal intubation. 93 patients were included and 16% required mechanical ventilation (MV) after the NIS. The crude cumulative incidence of the PE was 14% (95%, CI 8–22) for all group. In patients that required orotracheal intubation and MV, the cumulative incidence was significantly higher [33% (95%, CI 16–58)] compared to patients that continued with non-invasive support [11% (CI 5–18)] (Log-Rank, p = 0.013). Patients that required mechanical ventilation were at higher risk of PE for a HR of 4.3 (95%CI 1.2–16). In conclusion, cumulative incidence of PE is remarkably higher in critically patients with a potential impact in COVID-19 evolution. In this context, patients under NIS are a very high-risk group for developing PE without a clear strategy regarding thromboprophylaxis.