In this paper, we examine SMEs in Argentina in search for a measurement of those who are credit constrained. We also estimate a model for the determinants of credit rejection taking into account those that are self-excluded. In addition to the 7 percent of SMEs that request credit from banks and face rejection, we find that there is at least a percentage of nearly 37 percent of SMEs that are self-excluded from the credit market, although they seem to be in need of external financing (by several indicators); while having profitable investment projects. We find that the size of firms, low levels of leverage, and an exporting condition, all increase the probability of being granted a bank credit. Surprisingly, we do not find a role for other financial statements based variables such as collaterals or cash flow in the explanation of bank’s approval/rejection decision. Even more surprising is the fact that neither of the balance sheet based variables help to explain the self-exclusion from bank credit. The self-exclusion from the credit market is strongly related with firms’ private expectations on the existence of profitable opportunities, and their needs/desire for external financing.