Climate-related risks have become a growing source of market disruption, with potential behavioral implications for investor decision-making. This study investigates whether and how climate risks influenced risk aversion among market participants. Using a quantilogram approach, we examine the predictive power of different climate risk measures, covering both physical and transition risks, for a behavioral proxy of investor risk aversion. The analysis yields three key findings. First, climate risks significantly increase risk aversion, particularly in the lower and median quantiles of climate risk and the upper quantiles of risk aversion. Second, physical risks exert a stronger influence than transition risks, with global warming and U.S. climate-related policy uncertainty emerging as the most impactful within their respective categories. Third, the observed effects remain robust after controlling for other sources of macroeconomic and financial uncertainty. These findings suggest that climate risks can dampen investor risk appetite, a result with important implications for financial market stability and the design of disaster-related financial policy interventions.