Advertisers’ increasing use of embedded advertising formats makes it more difficult for consumers to identify persuasive intents in advertiser messages. However, only if consumers identify these intents and categorize messages as advertising, can they activate advertising-specific reception strategies which might result in lessened persuasion effects. The fact that consumers regularly miss persuasive intents in non-traditional advertising environments, we suggest in this article, carries epistemological and methodical implications. To better appreciate these implications, we argue for a more systematic adoption of a constructivist approach in advertising research. Some established concepts in advertising research such as the persuasion knowledge model and advertising literacy already implicitly follow a constructivist rationale. However, to more fully exploit the potential of a constructivist approach, we review communication concepts that inform advertising research, clarify why a constructivist approach increases the explanatory power of advertising research, and discuss challenges for research designs.