The relationship between nicotine abstinence and panic onset is still not well understood and the role of catastrophic misinterpretation, as possible moderator or mediator of this relationship, is unknown. We tested whether nicotine abstinence influences the response to a CO2 panic challenge and whether catastrophic misinterpretation (measured via the Anxiety Sensitivity [ASI] and the SomatoSensory Amplification Scale [SSAS]) exerts a moderating or mediating effect on the relationship between nicotine abstinence and panic. Eighty regular smokers underwent a 35% CO2 challenge after the transdermal administration of nicotine or placebo. Physiological and psychological variables were measured at baseline, directly before and after the challenge. Fear reactivity to the challenge was similar in both conditions. ASI (post-Test Visual Analogous Scale of Fear: ΔR2 = 0.043, p < .05) and SSAS (post-Test Visual Analogous Scale of Anxiety: ΔR2 = 0.036, p < .05; post-Test Panic Symptom List: ΔR2 = 0.035, p < .05) influenced anxiety as response to the challenge. We found no support for the moderational and the mediational hypotheses. The findings regarding fear reactivity when group status is considered partly confirm the literature. The positive findings observed for ASI and SSAS as factors influencing the response to the challenge, together with the lack of evidence for a moderational and a mediational hypothesis, confirm that anxiety sensitivity and somatosensory amplification are independent constructs and suggest that they directly influence the response to the challenge.