AbstractThe philosophy of a free‐market economy has encouraged enormous consumption, which has redefined the customers' perception of value (hedonic and utilitarian) and loyalty even in a developing country. To maximize their consumption level, customers, in many instances, prefer hedonic value to utilitarian value and demonstrate limited loyalty to any brand. This study investigated the Millennials customers' preference between hedonic value and utilitarian value and its impact on loyalty, in the context of a developing country which adopts a combination of capitalist and control economy. Data were collected from customers from the retail industry and were analyzed with PLS‐SEM technique. The findings suggest that, in the developing economy, Millennials prefer hedonic consumption value, which is related to their loyalty and corporate image of the store.