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Most image retrieval research focuses on improving predictive performance, ignoring scenarios where the reliability of the prediction is also crucial. The misalignment between model performance and reliability requirements calls for an systematic approach to study and mitigate the risks in image retrieval. Uncertainty quantification technique can be applied to mitigate this issue by assessing uncertainty for retrieval sets, but it can provide only a heuristic estimate of uncertainty rather than a guarantee. To address these limitations, we present Risk Controlled Image Retrieval (RCIR), which generates retrieval sets with coverage guarantee, i.e., retrieval sets that are guaranteed to contain the true nearest neighbors with a predefined probability. RCIR can be easily integrated with existing uncertainty-aware image retrieval systems, agnostic to data distribution and model selection. To the best of our knowledge, this is the first work to provide coverage guarantees for image retrieval. The validity and efficiency of RCIR are demonstrated on four real-world datasets: CAR196, CUB-200, Pittsburgh and ChestX-Det.