Is \d not supported by grep's basic expressions?

This does not generate any output. How come?

$ echo 'this 1 2 3' | grep '\d\+'

But these do:

$ echo 'this 1 2 3' | grep '\s\+'
this 1 2 3

$ echo 'this 1 2 3' | grep '\w\+'
this 1 2 3