This paper investigates the conditions under which regulatees decide to challenge regulatory sanctions in court. Targets of enforcement have the right to make independent regulatory agencies (IRAs) accountable in court, but IRAs would prefer not to have their enforcement actions challenged. This paper argues that, when deciding whether to contest regulators through appeals, regulatees consider the costs of sanctions as well as their relationship with the regulator. In particular, regulatory litigation is hypothesised to be shaped by the frequency and expected future interactions between regulateees and regulators. The empirical analysis relies on the behaviour of sanctioned individuals and firms in more than 3'500 cases from 18 financial regulators covering 13 European countries between 2004 and 2019. Results suggests that costlier sanctions and infrequent interactions between regulators and regulatees increase the risk of appeals.