в Хельсинки
OR
в Хельсинках?
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Sign up to join this communityAccording to paragraph 184 (non-declining nouns) of the Short Russian Grammar (direct link - in Russian), foreign-language toponyms that end in vowels other than -а and -ы do not decline.
Hence, you'll get:
Где?
В Хельсинки
but
Где?
В Каннах
You do often hear в Хельсинках, however this usage is colloquial and is not grammatically correct. This is just an analogue of the declension of Russian toponyms with similar ending. Compare the above with:
Где?
В Лужниках
Toponyms which calque plural from the language of origin do decline as plurals in Russian: в Афинах / Кумах / Каннах / Сиракузах, just the same as native Russian toponyms in plural: в Мытищах / Химках / Чебоксарах
However, Хельсинки is not plural in Finnish and hence not plural in Russian.
So it's a singular noun, and as any singular Russian noun ending in -и, is not declinable.
Correct form would be в Хельсинки.