Abstract Anthropogenic land use changes, such as deforestation and commercial forestry, have substantially reduced natural roost sites for European bats. A common conservation solution is to provide artificial roosts (i.e. bat boxes), but there are concerns that these can become hotter than natural roosts in summer and could be death traps during heat waves. Nevertheless, females of several bat species form maternity colonies in these boxes, thus occupying hotter and more humid microclimates than solitarily roosting males. We tested if cooling efficiency and heat tolerance differ between sexes in European bats, and estimated the evaporative water requirements for bats living in bat boxes during hot summer days. We used indirect calorimetry and thermometry to quantify thermoregulation at high air temperatures (Ta) in four species of verspitilionid bats that regularly occupy artificial roosts. We measured resting metabolic heat production, evaporative water loss rates (EWL) and body temperature (Tb) at Ta between 28°C and 48°C during summer. We predicted that females have higher evaporative cooling efficiency (evaporative heat loss/metabolic heat production) than males, allowing them to reach their heat tolerance limit at higher Ta. We found no sex differences in maximum evaporative cooling efficiency, maximum Tb, and maximum Ta tolerated. However, the patterns of increasing EWL with Ta differed between sexes. Females tolerated higher Ta before increasing EWL than males and then rapidly increased EWL to higher values than males at the maximum Ta tolerated. These sex differences in heat dissipation strategies may reflect varying ecological and physiological constraints associated with different summer roosting habits. Synthesis and applications. Our study revealed that some small European bat species are already at risk of succumbing to lethal dehydration during present‐day heat waves, with daytime evaporative water requirements equivalent to ~30% of body mass in sun‐exposed boxes. For conservation managers working with common European bat species, particularly those in monoculture forests with woodcrete bat‐boxes, our physiologically informed recommendations include positioning boxes in diverse locations varying in aspect and sun exposure. This will ensure thermal heterogeneity of roost sites and provide a wide gradient of microclimate conditions, allowing for roost switching when necessary.