Percutaneous thermal ablation (PTA), resection, and liver transplantation are the standard curative options for hepatocellular carcinoma (HCC). Liver transplantation yields the best long‐term outcomes but is limited by graft shortage. Thus, patients with ≤3‐cm HCC are primarily treated by PTA even though recurrence is frequent and may occur outside transplant criteria. Data on non‐transplantable recurrence (NTR) following PTA are lacking, however. We therefore investigated the incidence and predictors of NTR among 213 potentially transplantable patients (cirrhosis, 93%; Child‐Pugh A, 98.6%; alcohol‐related disease, 62%) with ≤3‐cm HCC(s) treated by PTA, to stratify them according to their NTR risk and to improve treatment allocation. During follow‐up (median: 41.2 months), NTR occurred in 18.3% (alpha‐fetoprotein [AFP] model) and 23% (Milan) patients. NTR prediction with competing‐risk analysis and internal validation revealed AFP > 100 ng/ml (subdistribution hazard ratio: 7.28; p < 0.001) and prior HCC (subdistribution hazard ratio: 3.77; p = 0.002) as independent predictors (Harrell's C: 0.76). Based on this model using the AFP score (equally predictive within Milan criteria), patients were stratified into three NTR risk categories: HCC‐naïve with AFP < 100 ng/ml (low risk, n = 108 of 213), non‐HCC naïve with AFP < 100 ng/ml (intermediate risk, n = 92 of 213), AFP ≥ 100 ng/ml (high risk, n = 13 of 213), among whom 9.3% (3.7% [Milan]), 22.8% (25% [Milan]), and 61.5% (38/5% [Milan]) presented NTR (p < 0.001). Median recurrence‐free survival was 4.6, 14.5, and 43.4 months, respectively, in high‐risk, intermediate‐risk, and low‐risk categories (p < 0.001). Median overall survival, which was 19.1 months in high‐risk patients, was not reached otherwise (p < 0.001). Conclusion: Overall, PTA of ≤3‐cm HCC incurs a low NTR risk. Simple and noninvasive predictors (HCC naivety, AFP) accurately stratified patients' risk of NTR, and should help to improve treatment allocation. Patients with AFP ≥ 100 ng/ml have a high risk of NTR, poor recurrence‐free survival, and overall survival. Further studies evaluating preemptive transplantation or adjuvant/neoadjuvant strategies are highly needed in this small patient subset.