Circumstellar envelopes (CSEs) have been detected around many Cepheids, first based on long-baseline interferometry, and now also using other observing techniques. These envelopes are particularly interesting for two reasons: their presence could impact the Cepheid distance scale, and they may be valuable tracers of stellar mass loss. Here we focus on their potential impact on the calibration of the Cepheid distance scale. We consider the photometric contribution of the envelopes in the visible, near-, and thermal-infrared domains. We conclude that the impact of CSEs on the apparent luminosities of Cepheids is negligible at visible wavelengths and generally weak (<5%) in the near-infrared (λ ≈ 2 μm). In the thermal-infrared domain (λ ≈ 8 μm), the flux contribution of the CSEs differs depending on the pulsation period: it is relatively weak (<15%) for stars with periods shorter than P ≈ 10 days, but can reach ≈ 30% for long-period Cepheids. We specifically discuss the long-period Galactic Cepheid RS Puppis, which exhibits a very large circumstellar, dusty envelope, and we conclude that this is not a representative case. Overall, the contribution of CSEs to the usual period–luminosity relations (from the visible to the K band) is mostly negligible. They could affect calibrations at longer wavelengths, although the presence of envelopes may have been partially taken into account in the existing empirical calibrations.