Europeans should honour the memory of the victims by taking measures to counter discrimination and promote better integration of Roma into society, the council's secretary general Thorbjorn Jagland said.
"The sad truth is that Roma in Europe still suffer widespread rejection, discrimination and even racist violence and hatred," he said on the anniversary of the Nazi gassing of nearly 3,000 Roma women, children and elderly people at Auschwitz-Birkenau death camp overnight August 2-3, 1944.
"A day of commemoration gives us a time to reflect on how we are living up to the pledge of 'never again'," said the boss of the Strasbourg-based rights and democracy body.
Historians say between 220,000 and 500,000 Romas were killed by the Nazis in Europe during World War II. About a third of the inmates of Auschwitz, in Poland, were Roma.
As Europe's biggest ethnic minority, Roma, also known as gypsies, number 10 to 12 million and live in all 27 EU member states, but it has long been an uneasy relationship.
Romania's Roma community is the biggest in Europe, officially put at 530,000 though local NGOs put it closer to two million, saying many hide their origins to try to escape prejudice.
Since August last year, France has expelled hundreds of eastern European Roma migrants on security grounds.