Quantum neural networks (QNNs) use parameterized quantum circuits with data-dependent inputs and generate outputs through the evaluation of expectation values. Calculating these expectation values necessitates repeated circuit evaluations, thus introducing fundamental finite-sampling noise even on error-free quantum computers. We reduce this noise by introducing the variance regularization, a technique for reducing the variance of the expectation value during the quantum model training. This technique requires no additional circuit evaluations if the QNN is properly constructed. Our empirical findings demonstrate the reduced variance speeds up the training and lowers the output noise as well as decreases the number of necessary evaluations of gradient circuits. This regularization method is benchmarked on the regression of multiple functions and the potential energy surface of water. We show that in our examples, it lowers the variance by an order of magnitude on average and leads to a significantly reduced noise level of the QNN. We finally demonstrate QNN training on a real quantum device and evaluate the impact of error mitigation. Here, the optimization is feasible only due to the reduced number of necessary shots in the gradient evaluation resulting from the reduced variance.