Effective disaster warning systems prevent deaths and injuries and protect livelihoods. We examined why people at risk do not move to safe places despite warnings and evacuation orders, by looking at responses to warnings for Cyclone Mora (2017) in Bangladesh in two villages of the Khulna District. Qualitative and quantitative data showed that almost all respondents received warnings before the cyclone, most from more than one source. However, only 21.6% of households took shelter in any place other than their own house. Most of these households did so with all members of their household, and most used a cyclone shelter. Almost all non‐evacuee households had more than one reason for not moving to another place. The most important reasons were that they thought the weather was good despite warnings, thought the cyclone would not occur in their area, had a fatalistic attitude, were a long distance from the nearest cyclone shelter, had poor road networks to go to the cyclone shelter, considered their own house to be a safe place, were scared of burglary, recalled that nothing happened during previous warnings, and were worried about overcrowded cyclone shelters. Our findings can help develop more effective warning systems in cyclone‐prone regions globally. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.