Almost four years after the implementation deadline of the energy performance of buildings Directive recast (2010/31/EU) and after being referred to the Court of Justice of the EU by the European Commission, Greece has not yet proceeded with the necessary calculations and legislative measures on the minimum, cost-optimal energy performance requirements for buildings. This paper aims to identify the optimal thickness of insulation that is cost-effective to apply in urban multi-family domestic buildings in the four climate zones of Greece. A reference building is selected in order to perform calculations over ten scenarios of external insulation thickness for each climate zone on a basic and three sensitivity analysis calculations according to the EU comparative methodology framework. The resulting energy savings for each insulation scenario are calculated, and then the cost-effectiveness of the measure is examined in financial and macroeconomic perspective for an economic lifecycle of 30 years. The results demonstrate the inadequacy of the national regulation’s current insulation limits and the externalities (funding gaps) that need to be addressed in order to achieve the effective improvement of energy efficiency in Greek homes.