Aim: This study estimated (i) the risk function between different indicators of alcohol use and long-term sickness absence, adjusting for possible confounding factors, (ii) whether the risk function between average volume of consumption and sickness absence is modified by heavy episodic drinking (HED), and (iii) to what extent the risk for sickness absence among abstainers is due to health selection bias. Data and methods: The study was based on data from the Stockholm Public Health Cohort 2006, with an analytical sample of 16,477 respondents aged 18–64 years. The outcome included register-based long-term (> 14 days) sickness absence. Negative binominal regression was used to estimate the association between sickness absence and average weekly volume of consumption, frequency of HED, and both in interaction. Results: Abstainers, chronic heavy drinkers and respondents with the highest frequency of HED had approximately two-fold higher rates of sickness absence relative to the reference groups, i.e., moderate drinkers and those with HED one to 6 times per year. Adjustment for confounding factors did not materially affect the shape of the risk function. After exclusion of abstainers with alcohol-related problems, or poor health, the estimates for abstainers became non-significant. Moderate drinkers with HED did not have significantly higher rates of sickness absence than moderate drinkers without HED. Conclusions: Our results suggest a significant association between alcohol use and sickness absence. There were indications that the U-shaped risk function may largely be due to health selection bias among abstainers. We found no indication of effect modification of HED on moderate drinking.