Case control studies offer an attractive way to assess the effectiveness of insecticide treated nets (ITN) under programme conditions but have the drawback of being susceptible to bias in the choice of controls. We evaluated the potential for pre-treatment with chloroquine to result in misclassification of cases and controls and affect estimates of ITN effectiveness in case control studies in urban and rural clinics in Eastern Afghanistan. During the one-month study, use of ITN showed no effect against malaria in the urban clinic (adjusted odds ratio OR 1.08; 95% CI 0.73–1.6) and the protective effect seen in the rural clinic was not significant (OR 0.62; 95% CI 0.2–2.4). Levels of pre-treatment were high in both clinics: 24% in urban and 19% in rural clinic attenders. In the urban clinic attenders the level of pre-treatment between bed net users and non-users was not significantly different (OR 1.07, 95% CI 0.70–1.64); therefore the misclassification of cases as controls did not introduce any selection bias. Amongst rural clinic attenders, bed net users were less likely to pre-treat with chloroquine than users (OR 0.33, 95% CI 0.14–0.77); this introduced a selection bias that resulted in an underestimation of the effectiveness of bed nets. Case control studies using health facility data are liable to selection bias especially in areas of high pre-treatment rates with chloroquine. Generalisation of results over a wide geographic region, or between urban and rural settings, may not be appropriate.