Ethnic profiling is a form of discrimination. Discrimination is forbidden by Finnish law and international conventions. Ethnic profiling is also forbidden during immigration controls in Finland: according to the law, your ethnicity cannot be the only or main reason for being stopped during these control processes.
If you suspect that your appearance, your skin colour or ethnicity is the only or main reason for being stopped by the police, you should file a complaint. It is important that officials receive information about discriminatory ethnic profiling.
It is unfortunately complicated to complain about ethnic profiling, as there are multiple complaint mechanisms. You should seek to understand how different complaint mechanisms work, and choose one with which to lodge a complaint. In all cases, a complaint must be resolved before another complaint mechanism can be approached to resolve the same incident.
You can also contact researcher Markus Himanen from the Stopped project at markus.himanen(at)utu.fi who can help you with the complaints process.