This study introduces a bounded rationality approach to welfare preference formation under exposure to labor market risks. Political economists typically expect that workers finely condition their support of the welfare state according to their current risk exposure. In contrast, the bouned rationality approach expects that risk exposure only increases welfare demand when it is reasonable to assume that workers are aware of their risk exposure and when future-related concerns are currently salient. The theory is tested with longitudinal data from Switzerland and repeated cross-sections from 28 European countries. It evaluates to what extent workers increase their welfare demand over time when their risk exposure increases, which allows for more credible effect identification compared to the usual cross-sectional approach. The empirical analysis supports bounded rationality theory. Swiss workers only optimize their welfare preferences in a forward-looking manner when they become unemployed, and only the national unemployment rate is found to increase welfare demand in European countries. In contrast, a variety of risks on the occupational and individual level drawn from previous research (e.g., occupational unemployment, temporary employment contract) are found to be unrelated with welfare preferences. The implication is that the risk exposure of employed workers may matter less for their welfare preferences and downstream political phenomena such as voting behavior than commonly expected. Primarily the realized risk unemployment seems to matter.