The construction of the Area of Freedom, Security and Justice has seen the pooling of a significant amount of national sovereignty at the European Union (EU) level through the establishment of internal EU competences. This process has also had the important side-effect of an increasing development of an EU interest in various areas of security, including in counter-terrorism. This article examines the processes through which the EU interest in counter-terrorism is constructed. It argues that, in line with social constructivist literature, it is important to conceptualise interests as being mutually constituted through interactions amongst political actors. It further develops two arguments in this respect. First, the United States (US) has exercised significant influence on the shaping of the EU interest in counter-terrorism. This point is particularly well-illustrated by the Passenger Name Record case. The second argument put forward by this article is that the process through which the EU interest is shaped has become increasingly complex, in particular following the entry into force of the Lisbon Treaty, which reinforced the powers of the European Parliament. A particularly apt illustration of this argument is the case of the SWIFT (Society for Worldwide Interbank Financial Telecommunication) Agreement.