Do not persist in folly. Some make a duty of failure and having started down the wrong road, think it a badge of character to continue.

[No proseguir la necedad. Hacen algunos empeño del desacierto, y porque comenzaron a errar, les parece que es constancia el proseguir.]

Baltasar Gracián y Morales (1601-1658) Spanish Jesuit priest, writer, philosopher

The Art of Worldly Wisdom [Oráculo Manual y Arte de Prudencia], § 261 (1647) [tr. Fischer (1937)]
    (Source)

(Source (Spanish)). Alternate translations:

Not to continue a Foppery. Some make an engagement of their mistakes: when they have once begun to fail, they think they are concerned in honour to continue.
[Flesher ed. (1685)]

Do not follow up a Folly. Many make an obligation out of a blunder, and because they have entered the wrong path thinks it proves their strength of character to go in it.
[tr. Jacobs (1892)]

Don’t persist in folly. Some people commit themselves to their errors. They act mistakenly and consider it constancy to go on that way.
[tr. Maurer (1992)]