AbstractCurrent research on consumer escape is characterized by a paradox: when seeking to escape the structures, pressures, and obligations of modern life, consumers end up reinforcing the same structure that caused the desire to escape. We propose that this paradox can be explained by a connection between consumer escape and the neoliberal rationality, which is understood to focus on the creation of autonomous, ambitious, and aspiring individuals. Thus, in this article, we explain how the neoliberal rationality affects consumer escape. A three‐year ethnography in a community of long‐distance runners has enabled us to explain that the neoliberal rationality acts on consumer escape through three specific and interdependent dynamics: the community of performance, the entrepreneurial body, and the performance market. Together, those three dynamics change the nature of consumer escape experiences in our contemporary society, according to the main contribution of this research.