We propose to assess the fairness of personalized recommender systems in the sense of envy-freeness: every (group of) user(s) should prefer their recommendations to the recommendations of other (groups of) users. Auditing for envy-freeness requires probing user preferences to detect potential blind spots, which may deteriorate recommendation performance. To control the cost of exploration, we propose an auditing algorithm based on pure exploration and conservative constraints in multi-armed bandits. We study, both theoretically and empirically, the trade-offs achieved by this algorithm.