The majority of analytical techniques, aimed at establishing the mercury contents of geological materials, require comminution of samples prior to analysis. This typically involves a process of crushing, followed by milling. It is known that heat is generated during milling in conventional milling apparatuses; therefore mercury losses may be expected due to the element’s volatility. To investigate mercury losses during milling, we analysed the mercury contents of nine certified reference materials of igneous rocks before milling and after respectively 3 and 10 minutes of milling, using a direct mercury analyser. The results of the experiments suggest that: (1) mercury losses are insignificant after 3 minutes of milling, (2) mercury losses become significant when samples undergo excessive milling, (3) mercury losses do not appear to be mineralogically controlled and (4) for samples with low mercury contents, contamination during milling plays a much more significant role in the analysed mercury contents than milling time.