We investigate the ridge-width dependence of the threshold of Quantum Cascade lasers fabricated by wet and dry etching, respectively. The sloped sidewalls resulting from wet etching affect the threshold in two ways as the ridge gets narrower. First, the transverse modes are deeper in the substrate, hence reducing the optical confinement factor. Second, more important, a non-negligible field exists in the lossy SiO2 insulation layer, as a result of transverse magnetic mode coupling to the surface plamon mode at the insulator/metal surface, which increases the waveguide loss. By contrast, dry etching is anisotropic and leads to waveguides with vertical sidewalls, which avoids the shift of the modes to the substrate layer and coupling to the surface plasmons, resulting in improved threshold compared with wet-etched lasers, e.g., for narrow ridge widths below 20 µm, the threshold of a 14 µm wide λ ≈ 14 µm laser by dry etching is ~60% lower than that of a wet-etched laser of the same width, at 80 K.