Bayart and Ruzsa [Difference sets and frequently hypercyclic weighted shifts. Ergod. Th. & Dynam. Sys.35 (2015), 691–709] have recently shown that every frequently hypercyclic weighted shift on $\ell ^p$ is chaotic. This contrasts with an earlier result of Bayart and Grivaux [Frequently hypercyclic operators. Trans. Amer. Math. Soc.358 (2006), 5083–5117], who constructed a non-chaotic frequently hypercyclic weighted shift on $c_0$ . We first generalize the Bayart–Ruzsa theorem to all Banach sequence spaces in which the unit sequences form a boundedly complete unconditional basis. We then study the relationship between frequent hypercyclicity and chaos for weighted shifts on Fréchet sequence spaces, in particular, on Köthe sequence spaces, and then on the special class of power series spaces. We obtain, rather curiously, that every frequently hypercyclic weighted shift on $H(\mathbb {D})$ is chaotic, while $H(\mathbb {C})$ admits a non-chaotic frequently hypercyclic weighted shift.