Non-response is a serious threat to the external validity of longitudinal psychosocial studies. Little is known about potential systematic differences between patients with coronary artery disease who complete a psychosocial study and those who drop out prematurely due to non-response, or whether drop-outs may have a different cardiovascular risk. We studied a cohort of 1132 consecutive patients undergoing percutaneous coronary intervention (PCI). At baseline, all patients completed the Hospital Anxiety and Depression Scale (HADS) and the Type D Scale (DS14). At 12 months follow-up, 70.8% (n = 802) of patients completed both questionnaires, while 29.2% (n = 330) dropped out. We observed significant differences in socio-demographic, clinical, and psychological baseline characteristics between completers and drop-outs. Drop-outs were younger, more likely to smoke, but less often prescribed cardiovascular medications, including calcium antagonists and angiotensin-converting enzyme inhibitors, as compared with completers. Drop-outs more often had depression, anxiety, and negative affectivity, as compared with completers (all p-values <0.05). After a median follow-up of 4 years, we found no significant differences in mortality risk between completers and drop-outs (6.5 vs. 7.3%; adjusted HR 1.34, 95% CI 0.82–2.19, respectively). In conclusion, a possible attrition bias occurred, as drop-outs and completers differed systematically on some socio-demographic, clinical, and psychological baseline characteristics. Despite these differences, this did not translate into a poorer short-term prognosis, as there were no differences in the mortality risk of completers vs. drop-outs after a median follow-up of 4 years. In future prospective studies, attention should be paid to attrition bias, and its possible impact on study results and implications should be discussed.