[DOCS] Adds note about escaping backslashes in regex

docs/reference/query-dsl/regexp-syntax.asciidoc

@@ -37,7 +37,55 @@ backslash or surround it with double quotes. For example:
 \\                  # renders as a literal '\'
 "[email protected]"    # renders as '[email protected]'
 ....
-
+
+[NOTE]
+====
+
+The backslash character is an escape character in both JSON strings and regular
+expressions. You need to escape both backslashes in a query, unless you use a
+language client, which takes care of this. For example, the keyword string `a\b`
+needs to be indexed as `"a\\b"`:
+
+////
+[source,console]
+----
+PUT my-index-000001
+{
+  "mappings": {
+    "properties": {
+      "my_field": {
+        "type": "keyword"
+      }
+    }
+  }
+}
+----
+////
+
+[source,console]
+--------------------------------------------------
+PUT my-index-000001/_doc/1
+{
+  "my_field": "a\\b"
+}
+--------------------------------------------------
+//TEST[continued]
+
+This document matches the following regex query:
+
+[source,console]
+--------------------------------------------------
+GET my-index-000001/_search
+{
+  "query": {
+    "regexp": {
+      "my_field": "a\\\\.*"
+    }
+  }
+}
+--------------------------------------------------
+//TEST[continued]
+====
 
 [discrete]
 [[regexp-standard-operators]]