What explains the appealing of welfare chauvinism? Studies of European opinion on social rights for immigrants have shown that individuals exhibit little support for government transfers that benefit groups which “they do not recognize as their own”. We argue that the labour market competition and cultural approaches are insufficient to understand welfare chauvinism. We posit that natives may be afraid that immigrants will impose substantial fiscal costs on the welfare state. Using cross-sectional data from the European Social Survey, we show that individuals that perceive that immigrants receive more than they contribute and that believe that the health care system in their country will be unsustainable in ten years are more likely to hold a welfare chauvinistic position. One of the main difficulties of testing the fiscal burden argument is that the potential cost of immigration is often approached in the literature as if it was endogenous to the deservingness of immigrants (to how much effort they put in their life). We address this issue by implementing a conjoint analysis in Spain where we indicate different attributes of immigrants. In line with the fiscal burden argument, we find that individuals are less likely to be in favour of granting full social rights to immigrants that pay on average less taxes than natives and that make a higher use of the health care system. Furthermore, we see that the effect of paying less taxes is present even when immigrants are presented as working on average more hours than natives.