When asked whether Finland's membership would be a threat, Peskov answered: "definitely".
"Everything will depend on how this process takes place, how far the military infrastructure will move towards our borders," he said.
Earlier on Thursday, Finland's president and prime minister said they were in favour of joining NATO and a formal decision would be taken this weekend.
Finland's political and public opinion swung dramatically in favour of membership after Russia sent troops into Ukraine on 24 February. Finland shares a 1,300-kilometre (800-mile) border with Russia and has been militarily non-aligned for decades.