Chromatic number and regular subgraphs

In 1992, Erd\H{o}s and Hajnal posed the following natural problem: Does there exist, for every $r\in \mathbb{N}$, an integer $F(r)$ such that every graph with chromatic number at least $F(r)$ contains $r$ edge-disjoint cycles on the same vertex set? We solve this problem in a strong form, by showing that there exist $n$-vertex graphs with fractional chromatic number $\Omega\left(\frac{\log \log n}{\log \log \log n}\right)$ that do not even contain a $4$-regular subgraph. This implies that no such number $F(r)$ exists for $r\ge 2$. We show that assuming a conjecture of Harris, the bound on the fractional chromatic number in our result cannot be improved.