Niklas Moisander's second half strike ended Wales' hopes of finishing third in their World Cup qualifying group.
Roni Porokara put the home side ahead on five minutes, slotting home after goalkeeper Wayne Hennessey could only parry Jonathan Johansson's shot.
Wales captain Craig Bellamy levelled 12 minutes later from David Vaughan's cross, his fifth goal in six games.
But Moisander's 77th-minute toe-poke was enough to claim victory and third spot for the Finns.
With both teams out of contention for qualification for next year's World Cup in South Africa, third place in Group Four was still the target with the Finns going into the game occupying that spot.
The home side were already fired up for the clash following Wales captain Craig Bellamy's comments after the sides last met in March, claiming they were both "poor".
And it took them just five minutes to break the deadlock.
Jonathan Johansson turned Ashley Williams in the box and his goal-bound effort was saved well by Hennessey, but his parry fell into the path of Roni Porokara who slotted into an empty net from 12 yards.
It was the worst possible start for a depleted Wales side who could only name four substitutes, but they responded well.
And 12 minutes later they were level after Gareth Bale set Blackpool's Vaughan free on the left to square for Bellamy to slide home his fifth goal in six games.
It helped Wales grow with confidence but they still had to defend, Petri Pasanen heading Joonas Kolkka's corner just over.
It was a much more positive display from John Toshack's side though and then it was Bellamy's turn to break into the box, only to be denied by Jussi Jaaskelainen in the Finland goal.
Craig Bellamy celebrates Wales' leveller by silencing the home crowd
Hitting the ageing Finns on the counter-attack is what is what Wales had to do and nine minutes before the break, Tottenham left-back Bale did just that crossing from the by-line for Simon Church, but the Reading striker could not direct his glancing header goal-bound.
Finland were not prepared to settle for a draw though and came out on the offensive at the start of what turned out to be a poor second half with the excellent Jari Litmanen key to their attack.
Bellamy picked up a booking for dissent after suffering a knock from a challenge by Hannu Tihinen, meaning he will miss Wednesday's final qualifier in Liechetenstein.
And it was only to worsen for Wales as they allowed Finland to apply the pressure.
They came close to adding a second on 70 minutes when substitute Kasper Hamalainen got into the box thanks to a fortunate deflection and Wolves keeper Hennessey had to dive low to deny him at the near post.
Hennessey, who also picked up a booking and is also out of Wednesday's clash, could do nothing five minutes later when Finland did get their second goal.
Porokara, on the edge of the "D", found Moisander free on the left to charge into the box, evade a challenge from James Collins and toe-poke home into the far corner.
There could have been late drama when Sami Hyypia's mistake gifted the ball to Dave Edwards in the Finland box but Bolton keeper Jaaskelainen reacted quickly to deny him and Wales who will finish fourth in the group.
Finland: Jaaskelainen, Pasanen, Hyypia, Tihinen, Moisander, Roman Eremenko, Litmanen (Aleksei Eremenko 90), Kolkka (Hamalainen 68), Sparv, Johansson (Kuqi 88), Porokara. Subs Not Used: Fredrikson, Hetemaj, Vuorinen, Lampi.
This page is best viewed in an up-to-date web browser with style sheets (CSS) enabled. While you will be able to view the content of this page in your current browser, you will not be able to get the full visual experience. Please consider upgrading your browser software or enabling style sheets (CSS) if you are able to do so.