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We study the effect of compact extra dimensions on the gravitational wave luminosity and waveform. We consider a toy model, with a compactified fifth dimension, and matter confined on a brane. We work in the context of five dimensional ($5d$) general relativity, though we do make connections with the corresponding Kaluza-Klein effective $4d$ theory. We show that the luminosity of gravitational waves emitted in $5d$ gravity by a binary with the same characteristics (same masses and separation distance) as a $4d$ binary is 20.8\% less relative to the $4d$ case, to leading post-Newtonian order. The phase of the gravitational waveform differs by 26\% relative to the $4d$ case, to leading post-Newtonian order. Such a correction arises mainly due to the coupling between matter and dilaton field in the effective $4d$ picture and agrees with previous calculations when we set black holes' scalar charges to be those computed from the Kaluza-Klein reduction. The above corrections to the waveform and the luminosity are inconsistent with the gravitational-wave and binary pulsar observations and thus they effectively rule out the possibility of such a simple compactified higher dimensions scenario. We also comment on how our results change if there are several compactified extra dimensions, and show that the discrepancy with $4d$ general relativity only increases.