Risk of predation is an evolutionary force that affects behaviors of virtually all animals. In this study, we examined how habitat selection by roe deer was affected by risk of predation by Eurasian lynx - the main predator of roe deer in Scandinavia. Specifically, we compared how habitat selection by roe deer varied (1) before and after lynx re-established in the study area and (2) in relation to habitat-specific risk of predation by lynx. All analyses were conducted at the spatial and temporal scales of home ranges and seasons. We did not find any evidence that roe deer avoided habitats in which the risk of predation by lynx was greatest and information-theoretic model selection showed that re-colonization by lynx had limited impact on habitat selection by roe deer despite lynx predation causing 65% of known mortalities after lynx re-colonized the area. Instead we found that habitat selection decreased when habitat availability increased for 2 of 5 habitat types (a pattern referred to as functional response in habitat selection). Limited impact of re-colonization by lynx on habitat selection by roe deer in this study differs from elk in North America altering both daily and seasonal patterns in habitat selection at the spatial scales of habitat patches and home ranges when wolves were reintroduced to Yellowstone National Park. Our study thus provides further evidence of the complexity by which animals respond to risk of predation and suggest that it may vary between ecosystems and predator-prey constellations.