The males of some species of moths possess elaborate feathery antennae. It is widely assumed that these striking morphological features have evolved through selection for males with greater sensitivity to the female sex pheromone, which is typically released in minute quantities. Accordingly, females of species in which males have elaborate (i.e., pectinate, bipectinate, or quadripectinate) antennae should produce the smallest quantities of pheromone. Alternatively, antennal morphology may be associated with the chemical properties of the pheromone components, with elaborate antennae being associated with pheromones that diffuse more quickly (i.e., have lower molecular weights). Finally, antennal morphology may reflect population structure, with low population abundance selecting for higher sensitivity and hence more elaborate antennae. We conducted a phylogenetic comparative analysis to test these explanations using pheromone chemical data and trapping data for 152 moth species. Elaborate antennae are associated with larger body size (longer forewing length), which suggests a biological cost that smaller moth species cannot bear. Body size is also positively correlated with pheromone titre and negatively correlated with population abundance (estimated by male abundance). Removing the effects of body size revealed no association between the shape of antennae and either pheromone titre, male abundance, or mean molecular weight of the pheromone components. However, among species with elaborate antennae, longer antennae were typically associated with lower male abundances and pheromone compounds with lower molecular weight, suggesting that male distribution and a more rapidly diffusing female sex pheromone may influence the size but not the general shape of male antennae.