Angiotensin-converting enzyme 2 (ACE2) receptor of severe acute respiratory syndrome coronavirus 2 is involved in baroreflex control mechanisms. We hypothesize that severe coronavirus infectious disease 2019 (COVID-19) patients may show an alteration in baroreflex-mediated heart rate changes in response to arterial hypotension. A pilot study was conducted to assess the response to hypotension in relation to continuous venovenous hemodiafiltration (CVVHDF) in critically ill patients with PCR-confirmed COVID-19 (from February to April 2020) and in critically ill non-COVID-19 patients with sepsis (from February 2018 to February 2020). The endpoint was a change in the heart rate in response to CVVHDF-induced hypotension. The association between COVID-19 status and heart rate change was estimated using linear regression. The study population included 6 COVID-19 patients (67% men; age 58 (53–64) years) and 12 critically ill non-COVID-19 patients (58% men; age 67 (51–71) years). Baseline characteristics, laboratory findings, hemodynamic parameters, and management before CVVHDF-induced hypotension were similar between the two groups, with the exception of a higher positive end-expiratory pressure and doses of propofol and midazolam administered in COVID-19 patients. Changes in the heart rate were significantly lower in COVID-19 patients as compared to critically ill non-COVID-19 patients (−7 (−9; −2) vs. 2 (2;5) bpm, p = 0.003), while the decrease in mean arterial blood pressure was similar between groups. The COVID-19 status was independently associated with a lower change in the heart rate (−11 (−20; −2) bpm; p = 0.03). Our findings suggest an inappropriate heart rate response to hypotension in severe COVID-19 patients compared to critically ill non-COVID-19 patients.