We define the rigidity of a Feynman integral to be the smallest dimension over which it is non-polylogarithmic. We argue that massless Feynman integrals in four dimensions have a rigidity bounded by 2(L-1) at L loops, and we show that this bound may be saturated for integrals that we call marginal: those with (L+1)D/2 propagators in (even) D dimensions. We show that marginal Feynman integrals in D dimensions generically involve Calabi-Yau geometries, and we give examples of finite four-dimensional Feynman integrals in massless $phi^4$ theory that saturate our predicted bound in rigidity at all loop orders.
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