This work presents an efficient implicit gas kinetic Lax–Wendroff scheme for steady isothermal gas flows in all Knudsen number (Kn) regimes. In the scheme, the discrete velocity Bhatnagar–Gross–Krook model equations (DVE) and the associated conservation moment equations (CME) are coupled and solved by matrix-free implicit schemes. Thanks to obtaining the fluxes of the CME by multiplying the fluxes of the DVE with a projection matrix and utilizing the equilibrium distribution functions at the new time predicted by the CME, both the complicated macro fluxes reconstruction of the CME and the calculation of the Jacobian matrix of the equilibrium distribution functions are not needed in the scheme, which makes the scheme lightweight. Moreover, to enhance the accuracy of the predicted equilibrium distribution functions at the new time to improve the convergence, a symmetric Gauss–Seidel scheme with inner iterations is used to solve the CME system. Due to the coupling between the DVE and the CME, the highly efficient implicit scheme for the CME drives the DVE system to converge quickly for the continuum and near-continuum flows. Furthermore, to verify the accuracy and high efficiency of the proposed implicit scheme, comparison studies of several two-dimensional isothermal rarefied gas flow cases simulated by the present implicit scheme and the explicit gas kinetic Lax–Wendroff scheme are also provided. The numerical results show that the present implicit scheme can be as accurate as its explicit counterpart with one to two orders times speed-up in all Kn number flow regimes.