diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index a2e3b6fc10e43..e896369a1d876 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -10563,6 +10563,7 @@ def cov(
         ddof : int, default 1
             Delta degrees of freedom.  The divisor used in calculations
             is ``N - ddof``, where ``N`` represents the number of elements.
+            This argument is applicable only when no ``nan`` is in the dataframe.
 
             .. versionadded:: 1.1.0