Recently, deep learning has emerged as a promising tool for statistical downscaling, the set of methods for generating high-resolution climate fields from coarse low-resolution variables. Nevertheless, their ability to generalize to climate change conditions remains questionable, mainly due to the stationarity assumption. We propose deep ensembles as a simple method to improve the uncertainty quantification of statistical downscaling models. By better capturing uncertainty, statistical downscaling models allow for superior planning against extreme weather events, a source of various negative social and economic impacts. Since no observational future data exists, we rely on a pseudo reality experiment to assess the suitability of deep ensembles for quantifying the uncertainty of climate change projections. Deep ensembles allow for a better risk assessment, highly demanded by sectoral applications to tackle climate change.