What version of Scala are you using? Works fine in 2.10.0:
Welcome to Scala version 2.10.0 (Java HotSpot(TM) 64-Bit Server VM, Java 1.6.0_37).
Type in expressions to have them evaluated.
Type :help for more information.
scala> raw"\d".r
res0: scala.util.matching.Regex = \d