Chronic Obstructive Pulmonary Disease (COPD) is characterized by persistent respiratory symptoms and airflow limitation, which is progressive and not fully reversible. In patients with COPD, body mass index (BMI) is an important parameter associated with health outcomes, e.g. mortality and health-related quality of life. However, so far no study evaluated the association of BMI and health care expenditures across different COPD severity grades. We used claims data and documentation data of a Disease Management Program (DMP) from a statutory health insurance fund (AOK Bayern). Patients were excluded if they had less than 4 observations in the 8 years observational period. Generalized additive mixed models with smooth functions were used to evaluate the association between BMI and health care expenditures, stratified by severity of COPD, indicated by GOLD grades 1–4. We included 30,682 patients with overall 188,725 observations. In GOLD grades 1–3 we found an u-shaped relation of BMI and expenditures, where patients with a BMI of 30 or slightly above had the lowest and underweight and obese patients had the highest health care expenditures. Contrarily, in GOLD grade 4 we found an almost linear decline of health care expenditures with increasing BMI. In terms of expenditures, the often reported obesity paradox in patients with COPD was clearly reflected in GOLD grade 4, while in all other severity grades underweight as well as severely obese patients caused the highest health care expenditures. Reduction of obesity may thus reduce health care expenditures in GOLD grades 1–3.