Meta sells data on its users to advertisers but has long struggled to provide a justification that satisfies EU data privacy laws.
The Silicon Valley firm began allowing users of Instagram and Facebook in Europe to pay between 10 and 13 euros (around $11 and $14) a month to opt out of data sharing earlier this month.
But European consumer groups said the choice was not legal.
"This is an unfair choice for users, which runs afoul of EU consumer law on several counts and must be stopped," said a statement from the European Consumer Organisation (BEUC), a Brussels-based umbrella group.
It said 19 of its members had launched a joint complaint with Europe's network of consumer protection authorities.
"Meta is breaching EU consumer law by using unfair, deceptive and aggressive practices," said Ursula Pachl, BEUC's deputy director.
On Tuesday, Austrian privacy group NOYB filed a complaint with the data protection authority in Vienna over the same issue.
NOYB, which has won countless cases against Meta, said Meta's new system violated data privacy laws because consent was not "freely given" if the only alternative was to pay.
Meta has not responded to AFP requests for comment on the challenges, but said when it announced the change in October that it "balances the requirements of European regulators while giving users choice".
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