Speaking only for Finland: most of the guns are for hunting: rifles, shotguns and the like. A statistic from 2016 has 1.5 million guns, 220 000 of which are handguns.

Second, the legislation is very strict. You need to have a reason for owning a gun; hunting and shooting sports are valid, personal protection isn't. You need to belong to a relevant association (such as hunting clubs or shooting clubs). You need proper locked storage in your apartment. Carrying a gun in public without a reason (such as going to a shooting range) is forbidden, and even then should be minimized.

Should you violate any of these conditions, you're liable to lose your gun license and all guns will be seized. Also the police may revoke the license on suspicion of violent behaviour.

So, if you want to get a gun, you have to live squeaky-clean. Illegal guns are of course another matter.