Happiness is a key ingredient of well-being. It is thus reasonable to expect that valuing happiness will have beneficial outcomes. We argue that this may not always be the case. Instead, valuing happiness could be self-defeating because the more people value happiness, the more likely they will feel disappointed. This should apply particularly in positive situations, in which people have every reason to be happy. Two studies support this hypothesis. In Study 1, female participants who valued happiness more (vs. less) reported lower happiness when under conditions of low, but not high, life stress. In Study 2, compared to a control group, female participants who were experimentally induced to value happiness reacted less positively to a happy, but not a sad, emotion induction. This effect was mediated by participants’ disappointment at their own feelings. Paradoxically, therefore, valuing happiness may lead people to be less happy just when happiness is within reach.