The captains of England, Wales, Belgium, the Netherlands, Switzerland, Germany and Denmark will not wear "OneLove" armbands after FIFA made it clear they would be booked, the associations said in a joint statement on Monday.
"You don't want the captain to start the match with a yellow card. That is why it is with a heavy heart that we as a UEFA working group ... and as a team had to decide to abandon our plan," the Dutch football association KNVB said in a statement.
The KNVB said FIFA had made it clear only hours before kick-off of their opening match against Senegal on Monday that captain Virgil van Dijk would get a yellow card if he walked on the pitch wearing the armband as planned.
The KNVB said it was "deeply disappointed" in FIFA's stance and would not let it pass unnoticed.
"This is completely against the spirit of our sport, which unites millions of people," the KNVB said in a statement.
"Together with other countries involved we will critically look at our relation with FIFA."
The armband had been designed to convey a message "against any form of discrimination", the Dutch FA said.
According to FIFA rules, team equipment must not have any political, religious or personal slogans, statements or images, and during FIFA Final Competitions, the captain of each team "must wear the captain’s armband provided by FIFA".
Wales said the countries involved had been prepared to pay fines that would normally apply to breaches of kit regulations, but sporting sanctions had been a step too far.
"As national federations, we can’t put our players in a position where they could face sporting sanctions including bookings, so we have asked the captains not to attempt to wear the armbands in FIFA World Cup games."