Few-shot segmentation has recently attracted substantial interest, with the popular meta-learning paradigm widely dominating the literature. We show that the way inference is performed for a given few-shot segmentation task has a substantial effect on performances, an aspect that has been overlooked in the literature. We introduce a transductive inference, which leverages the statistics of the unlabeled pixels of a task by optimizing a new loss containing three complementary terms: (i) a standard cross-entropy on the labeled pixels; (ii) the entropy of posteriors on the unlabeled query pixels; and (iii) a global KL-divergence regularizer based on the proportion of the predicted foreground region. Our inference uses a simple linear classifier of the extracted features, has a computational load comparable to inductive inference and can be used on top of any base training. Using standard cross-entropy training on the base classes, our inference yields highly competitive performances on well-known few-shot segmentation benchmarks. On PASCAL-5i, it brings about 5% improvement over the best performing state-of-the-art method in the 5-shot scenario, while being on par in the 1-shot setting. Even more surprisingly, this gap widens as the number of support samples increases, reaching up to 6% in the 10-shot scenario. Furthermore, we introduce a more realistic setting with domain shift, where the base and novel classes are drawn from different datasets. In this setting, we found that our method achieves the best performances.