In this study, we analyze European attitudes about the Roma. These attitudes are important because they encourage or impede the full inclusion of the Roma in European society. We articulate what we refer to as the Gypsy Threat Narrative and use it to motivate an empirical analysis of how comfortable Europeans are with Roma neighbors, as expressed in a 2008 Eurobarometer survey. We use mixed ordinary least square regression models to account for the hierarchical data structure, and account for a number of factors previously found to correlate with attitudes about the Roma while reporting new findings grounded in the logic of the Gypsy Threat Narrative. We discuss the implications of our study for research on European ethnic relations and for activists working for greater Roma inclusion.