•Framework for regret optimization in multiobjective optimization under uncertainty.•No limitation to linear objectives nor to finite or interval uncertainty sets.•Continuity analysis of the robust objective functions with respect to uncertainty. Consider a multiobjective decision problem with uncertainty in the objective functions, given as a set of scenarios. In the single-criterion case, robust optimization methodology helps to identify solutions which remain feasible and of good quality for all possible scenarios. A well-known alternative method in the single-objective case is to compare possible decisions under uncertainty with the optimal decision with the benefit of hindsight, i.e. to minimize the (possibly scaled) regret of not having chosen the optimal decision. In this contribution, we extend the concept of regret from the single-objective case to the multiobjective setting and introduce a proper definition of multivariate (robust) (relative) regret. In contrast to the few existing ideas that mix scalarization and optimization, we clearly separate the modelling of multiobjective (robust) regret from its numerical solution. Moreover, our approach is not limited to a finite uncertainty set or interval uncertainty and furthermore, computations or at least approximations remain tractable in several important special cases. We illustrate all approaches based on a biobjective shortest path problem under uncertainty.