Whereas much previous research focuses on the ways consumers strive to gain social approval, consumption that may result in social disapproval must be considered. In order to do so, the purpose of this paper is to explore consumers' self-concepts within a risky consumption context, namely smoking. Self-concept discrepancies and the resulting emotions and coping strategies are identified. A qualitative methodology based on 30 focus groups conducted across ten European countries is employed. Findings demonstrate self-concept discrepancies between both the actual self and ought/ideal guiding end states, as well as between the 'I' and social selves. Such discrepancies generate negative emotions and result in emotion-focused coping strategies. In addition, the accuracy of smokers' social self-concepts with reference to the actual perceptions of non-smokers is discussed. Important implications for the design of effective anti-smoking advertising are discussed, based on the findings. It is suggested that counter advertising should encourage dialogue between smokers and non-smokers and that message themes should centre on building the self-efficacy of smokers. The reason why the social context should be an integral part of consumer self-concept research is highlighted. Moreover, the importance of moving beyond merely understanding the existence of self-discrepancies, to focus on the emotions that are generated by these discrepancies and the consequent coping strategies employed to resolve them is identified. As such, the potential contributions that may arise by recognising the intersection between two bodies of literature that are often treated separately, namely, consumer coping and the self-concept, are highlighted.