The game kicks off at 6pm on Saturday 16 November and will allow Chris Coleman the chance to assess his players as they look ahead to their Euro 2016 qualifying campaign.
Wales are now unable to qualify for next year's World Cup in Brazil and lie bottom of the Group A table.
Finland and Wales have a balanced record from their previous 11 meetings, with four wins apiece, with Finland having won the last match 2-1 in October 2009.
'"This is an ideal friendly for us as we look ahead," said Coleman.
"Finland have always produced good, strong technical players and I have no doubt that they will be a very good test for us.
"From a personal point of view, I remember playing against them for Wales in the first game at the Millennium Stadium in March 2000 when they beat us 2-1.
"Ryan Giggs scored for us in front of 66,000 fans. My old mate Andy Melville was alongside me in defence.
"Finland had players such as Sami Hyypia, Jari Litmanen and Mikael Forssell in their team. Quite a handful."