Rare in Europe? I'm looking out of my window in central London and there are at least three squirrels arguing about brexit or something. In warmer months, I need to be careful not to kick one of them as I go by on the sidewalk. They are everywhere.
To give just one counterexample, I grew up in a very rural/mountainy part of Austria, surrounded by forests everywhere, and I can count the times I have seen a squirrel on one hand.
That said, Europe is many things.
There is one (actually several) geographical definition (as a continent), geo-political definitions, cultural, historical, and other...
Even Wikipedia has some of the nuance:
Europe is a continent that comprises the westernmost peninsula of Eurasia (extending from the Urals to the Iberian Peninsula), the Scandinavian Peninsula, Great Britain, Ireland, Iceland and many smaller surrounding islands in the North Atlantic Ocean and Mediterranean Sea.
Europe may also refer to:
Continental Europe, the mainland of Europe excluding the islands surrounding it
European Union, a European political supranational entity