Many contemporary act consequentialists define facts about what we ought to do in terms of facts about what we ought to prefer to be the case. They claim that we ought to perform an action if and only if (and because) we ought to prefer its outcome to the outcome of any available alternative. Some of these theorists claim they can accommodate deontic constraints, such as a constraint against killing the innocent. In this paper, I argue that they can't. When we can prevent five killings only by killing one, we ought not kill, but we ought to prefer the outcome in which we do. The first part of the paper argues that this verdict holds regardless of what kinds of facts consequentialists take to provide reasons for preference. The second part explains how what you should do could come apart from what you should prefer to be the case.