This is actually a more complicated issue, not so clear cut. Culturally, Finns (and Estonians) are after all rather similar to the Swedes. Also remember that what today is called Finland was, for a very long time, part of Sweden, thus we have also a lot of Swedish blood in the population - even the Finnish-speaking population.
But the core of the question is, what determines a region like "Scandinavia"? If it's the culture, you could count Finland and Estonia in. If it's shared biological ancestry, they'd make corner cases, perhaps. If it's the language, they should probably be excluded (although both countries have Swedish-speaking minorities). If it's geography, well, it just depends on where you draw the line. If it's a combination of these things... well, both "yes" and "no" would be acceptable answers.
But of course you're right in that "core" Scandinavia remains Sweden, Norway, Denmark, Iceland, Faroese islands.
p.s. and then there's Åland, an island group belonging to Finland with a completely Swedish speaking, ethnic Swedish population with completely Swedish culture... like I said... "it's complicated"!