Many large animal species have a high risk of extinction. This is usually thought to result simply from the way that species traits associated with vulnerability, such as low reproductive rates, scale with body size. In a broad-scale analysis of extinction risk in mammals, we find two additional patterns in the size selectivity of extinction risk. First, impacts of both intrinsic and environmental factors increase sharply above a threshold body mass around 3 kilograms. Second, whereas extinction risk in smaller species is driven by environmental factors, in larger species it is driven by a combination of environmental factors and intrinsic traits. Thus, the disadvantages of large size are greater than generally recognized, and future loss of large mammal biodiversity could be far more rapid than expected.