Declines in subjective energy availability and cognitive functions could explain the decrease in physical activity observed across aging. However, how these factors interact remains unknown. Based on the theory of effort minimization in physical activity (TEMPA), we hypothesized that cognitive functions may help older adults to maintain physical activity even when energy availability is perceived as insufficient. This study used data of 104,590 adults from 21 European countries, from the Survey of Health, Ageing and Retirement in Europe (SHARE), including 7 measurement occasions between 2004 and 2017. Cognitive functions were assessed with verbal fluency and delayed recall, using the verbal fluency test and the 10-word delayed recall test. Physical activity and subjective energy availability were self-reported. Results of linear mixed-effects models revealed that cognitive functions moderated the associations between subjective energy availability and physical activity. Moreover, as adults get older, cognitive functions became critical to engage in physical activity regardless the availability of perceived energy. Sensitivity and robustness analyses were consistent with the main results. These results suggest that cognitive functions may help older adults to maintain regular physical activity even when energy for goal pursuit becomes insufficient, but that the protective role of cognitive functions becomes critical at older age, irrespective of the state of perceived energy. The online version contains supplementary material available at 10.1007/s10433-021-00654-2.