I was pretty sure that there is something and a lot of searching finally led me to the “Unfair Commercial Practices Directive” from 2005. There also is a guidance to that directive from 2021 that is found here: eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX…

Section 4.2.7 (dark patterns) is what is interesting for this topic. In the paragraph at the end of the section it includes the sentence:

unsubscribing from a service should be as easy as subscribing to the service

So it appears that the EU intended it that way but because it’s only a directive, implementation differs by country. I also didn’t see anything about being able to cancel in the same way you subscribed(e.g. that they can’t force you to call or send a letter if you subscribed online), but afaik german law has a ruling like this.