Background: Many adolescents and young adults get insufficient sleep. A link between sleep loss and risk-taking behavior has been consistently found in the literature, but surprisingly, the role played by the origin of sleep loss in this link has never been investigated. Sleep loss can be voluntary (instead of sleeping, a significant amount of time is devoted to other activities) or involuntary (caused by a sleep disorder, for example, insomnia). The aim of this research was to investigate whether both types of sleep loss are associated to the same extent with risky behavior. Participants: Five hundred thirty-six university students between 19 and 25 years old participated in this study. Three groups were selected: participants with voluntary sleep loss, participants with insomnia, and normal sleepers. Methods: We assessed risk-taking behavior in virtual driving situations, as well as drinking habits in terms of quantity and frequency. To further explore the differences between the groups, we also measured sensation seeking, a personality trait related to risk-taking behavior. Results: Compared to participants with insomnia and normal sleepers, participants with voluntary sleep loss take more risks in dangerous driving situations, drink more alcohol, and have higher disinhibition scores on the Sensation-Seeking Scale. On the other hand, no such differences were found between participants with insomnia and normal sleepers, suggesting that sleep loss is not always associated with risk taking. Conclusions: Whether sleep loss is associated with risk-taking behavior or not could depend on the origin of sleep loss and the underlying personality traits.