Using administrative data from four Italian pension funds, we document a substantial gender gap in pension investment at enrollment. Women contribute similar shares of income as men but systematically select less volatile, lower-return investment lines. A vignette-based survey experiment with pension advisors reveals that they recommend less risky portfolios for female clients, despite identical financial profiles. This gender bias disappears when advisors are informed about its existence and potential consequences. Linking survey insights to administrative data, we find that regions where advice is more biased exhibit larger gender gaps in investment choices. Our results identify biased financial advice as a novel, policy-relevant contributor to the gender pension gap.