We study stochastic linear bandits where, in each round, the learner receives a set of actions (i.e., feature vectors), from which it chooses an element and obtains a stochastic reward. The expected reward is a fixed but unknown linear function of the chosen action. We study \emph{sparse} regret bounds, that depend on the number S of non-zero coefficients in the linear reward function. Previous works focused on the case where S is known, or the action sets satisfy additional assumptions. In this work, we obtain the first sparse regret bounds that hold when S is unknown and the action sets are adversarially generated.