Multimodal models trained on modality-complete data are plagued with severe performance degradation when encountering modality-missing data. Prevalent cross-modal knowledge distillation-based methods precisely align the representation of modality-missing data and that of its modality-complete counterpart to enhance robustness. However, due to the irreparable information asymmetry, this determinate alignment is too stringent, easily inducing modality-missing features to capture spurious factors erroneously. In this paper, a novel multimodal Probabilistic Conformal Distillation (PCD) method is proposed, which considers the inherent indeterminacy in this alignment. Given a modality-missing input, our goal is to learn the unknown Probability Density Function (PDF) of the mapped variables in the modality-complete space, rather than relying on the brute-force point alignment. Specifically, PCD models the modality-missing feature as a probabilistic distribution, enabling it to satisfy two characteristics of the PDF. One is the extremes of probabilities of modality-complete feature points on the PDF, and the other is the geometric consistency between the modeled distributions and the peak points of different PDFs. Extensive experiments on a range of benchmark datasets demonstrate the superiority of PCD over state-of-the-art methods. Code is available at: https://github.com/mxchen-mc/PCD.