In recent months, there has been a row over Russia’s demand to pay for gas in roubles.
Finland has also sought a NATO membership, with Russia advising the country against joining the military alliance.
In a statement, the firm said: “Gasum considers there to be a real risk of the natural gas supplies under the company’s gas supply contract ending.
“Gasum has not received any information about the matter from Gazprom Export or from the Russian transmission operator.”
Gasum added that it will ensure that there is gas available for its customers from other sources through the Balticonnector gas pipeline which connects Finland with Estonia.
It said: “However, constraints on transmission capacity can make this challenging.”