How to stop EU users from accessing my website?

I would use .htaccess. To do so you can:

  1. Login via FTP, sFTP or SSH to your WordPress root installation. Find and open .htaccess
    file.
  2. Visit this website and choose the countries you want to block.
    It will generate a list of IPs ready to copy and paste on your
    .htaccess.
  3. Paste the list.

If you don’t know how to access search for a plugin in the repository like https://wordpress.org/plugins/ip-geo-block/.

The proper way is to take the time to read about cookies and privacy and implement it. Some basics are:

  1. Ensure you block cookies until they are accepted.
  2. Ensure you ask for permission in your forms to process the data.
  3. Ensure you don’t keep european users data outside EU servers.