Because of how human populations are presently distributed, comparing population densities of two countries is really mostly comparing how much of each country's land is in truly depopulated swathes. Unless the countries you're comparing are, like, city-states, or oppositely they both lack urbanization, population density tells you very little about density as actually experienced by the inhabitants.
Think of average class size vs. median class at a university. The majority of students' class experiences are class sizes are smaller than average. The average is dominated by the rare classes which are huge.
Likewise, the vast majority (80%+) of Canadians and Finns live in cities or suburbs. These places are far denser than the national average, and occupy tiny portions of the total land area, in both countries. So to that 80% of the population, the density they live in is nothing like the national average.