An investigation by Finland's Swedish news agency Svensk Presstjänst, has found that staff have been bootlegging thousands of dollars worth of tax-free cigarettes, wine, beer and spirits.
International law dictates anyone with diplomatic status employed at an embassy is allowed to buy tobacco and alcohol tax-free, but selling it is prohibited.
The scam is alleged to have cost the Swedish government up to US$22,000 in lost taxes, according to Swedish newspaper Wasabladet.
Finland's former ambassador to Sweden, Jarmo Viinanen, told Wasabladet that he put an end to the peddling in 2014 when he became aware of it.
He added that the amount of tax-free purchases of tobacco and alcohol that the Finnish embassy made had dramatically fallen since.
Despite this, police in Sweden and Finland have yet to investigate the allegations.
An official at the Finnish Foreign Affairs Ministry, told the Telegraph that it was investigating the claims.
"We knew before that something was going on and we immediately put a stop to it, but this report suggests that the amount of goods [being sold] was much larger than we thought," said Ari Rouhe.
"We will address the issue of tax with Sweden when the investigation is completed — the figure that is mentioned in media reports is total speculation."
As they say in Finland, "hölkyn kölkyn" or bottom's up!