‘Reasonable anti-Gypsyism’ in the EU rests in practices and measures designed to conceal discriminatory intent. Political discourse portrays the Roma as a threat to public security and welfare, and ultimately to EU integration. Anti-Gypsyism can be conceptualized as intersectional discrimination against Roma subgroups based on a combination of grounds, such as race or ethnicity, nationality, migration status, language, religion or socio-economic status. Today, the relatively few grounds in EU equality law cannot accommodate all the identity facets relevant for the Roma, but an analysis of how the Roma are constructed as a subject of discrimination can yield a thick interpretation as in CHEZ (C-83/14). Still, academic debate prioritizes intersectional perspectives advanced by other identity groups vis-a-vis, rather than with or for, the Roma. This paper debunks futile intersectionality that impedes, rather than facilitates, coalition-building needed to reform EU anti-discrimination law.