I was very surprised to hear that Scandinavia wasn’t considered part of continental Europe. So I went to Wikipedia and found this interesting explanation:
The Scandinavian Peninsula is sometimes also excluded even though it is a part of "mainland Europe", as the de facto connections to the rest of the continent were historically across the Baltic Sea or North Sea (rather than via the lengthy land route that involves travelling to the north of the peninsula where it meets Finland, and then south through northeast Europe)