Why? It's cheap, and it's beneficial to some European states/business, and Russians only get some small money for it from Europe. This trade does not seem to harm Ukraine efforts that much, the support given to Ukraine should overcompensate strongly. Ukrainians do not like Europe paying Russia, but they understand that just stopping gas/oil going from Russia to Europe won't help them much, and may antagonize parts of Europe.
According to President Biden this proxy war is the only thing preventing Putin from launching a hitlerian jihad on the entire European continent (source: the most recent presidential debate) so it's a bit odd seeing the Europeans continue to buy his fuel like they don't have any skin in the game. Granted it's also possible that the situation isn't nearly as dire as some would have us believe, but that's the official story so....
