Segmentation of Multiple Sclerosis (MS) lesions is a challenging problem. Several deep-learning-based methods have been proposed in recent years. However, most methods tend to be static, that is, a single model trained on a large, specialized dataset, which does not generalize well. Instead, the model should learn across datasets arriving sequentially from different hospitals by building upon the characteristics of lesions in a continual manner. In this regard, we explore experience replay, a well-known continual learning method, in the context of MS lesion segmentation across multi-contrast data from 8 different hospitals. Our experiments show that replay is able to achieve positive backward transfer and reduce catastrophic forgetting compared to sequential fine-tuning. Furthermore, replay outperforms multi-domain training, thereby emerging as a promising solution for the segmentation of MS lesions.The code is open-source available at https://github.com/naga-karthik/continual-learning-ms.