The incident, off the coast of Porvoo east of the capital Helsinki, came weeks after Finnish officials summoned the Russian ambassador over a similar accusation.
Finland, which joined NATO in 2023 following Moscow's fully-fledged invasion of Ukraine, has a 1,340-kilometre (830-mile) border with Russia.
"An investigation into the alleged violation of airspace was launched immediately," Defence Minister Antti Hakkanen said of the latest incident, adding that the coast guard would head the inquiry.
Moscow has repeatedly warned Finland of possible repercussions over its decision to join NATO, and tension has been rising.
Hakkanen told AFP in mid-May that Finland was "closely monitoring and assessing Russia's activities and intentions".
He was commenting after the New York Times published satellite images appearing to show an expansion of Russian military infrastructure near the border.
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