This paper proposes a novel non-parametric multidimensional convex regression estimator which is designed to be robust to adversarial perturbations in the empirical measure. We minimize over convex functions the maximum (over Wasserstein perturbations of the empirical measure) of the absolute regression errors. The inner maximization is solved in closed form resulting in a regularization penalty involves the norm of the gradient. We show consistency of our estimator and a rate of convergence of order $ \widetilde{O}\left( n^{-1/d}\right) $, matching the bounds of alternative estimators based on square-loss minimization. Contrary to all of the existing results, our convergence rates hold without imposing compactness on the underlying domain and with no a priori bounds on the underlying convex function or its gradient norm.