Tuomo Ruutu scored two goals, including a disputed game-winner at 10:18 of the third period, as Finland beat Canada 4-2 on Tuesday before a full house of 7,800 on Tuesday.
Shane Doan scored in the first period and linemate Jonathan Toews got one in the third for Canada.
"As a Canadian, any time you lose a hockey game you're extremely disappointed, but we're realistic," said Doan. "A lot of us just got here (Monday) night and we had one practice, while it was Finland's fifth or sixth game.
"And we were trying to get used to the time difference. But we did some good things."
The world championship begins Friday in Moscow. Canada plays its first game against Germany on Saturday.
Finland's Sean Bergenheim opened the scoring 2:04 into the game when he beat Dwayne Roloson. Doan tied it at 6:54 when he tipped in Jame Pollock's point shot on a power play.
Justin Williams thought he had the go-ahead goal midway through the period, but he was ruled to have touched the puck with a high stick.
Coach Andy Murray said the referee, "misinterpreted the rule. It was definitely a goal." But without video replays, it couldn't be verified.
Ruutu put Finland ahead at 14:08 and got another on Cam Ward, who replaced Roloson midway through the middle period, on a puck that just crossed the line at 10:18 of the third.
Doan had a good laugh about what followed, because this time, there was video replay.
After the officials called it a goal, then waived it off after consulting the goal judge, the Finns complained and the referee called the television booth. Then he ruled it a goal.
"They had no video replay, but then later on for their goal they did have video replay," Doan said. "One linesman came over to me and said 'I'm so sorry."'
Murray saw it as a learning experience for his team.
"It was a goal, so certainly the Finns deserved to have it count, but it was interesting how it developed," Murray said. "It was a good experience for our team to see the types of things that can happen over here.
"But then, the next shift, we responded with a goal ourselves."
That came from Toews, the highly touted Chicago Blackhawks draft pick, who banged in a rebound at 11:09.
Toews, who arrived in a contingent that is filling in before late additions from the NHL are added to the team, skated on a line with Doan and Rick Nash.
"He's going to be, or rather he is, a very good player," said Doan.
Finnish captain Ville Peltonen put the game away with an empty-net goal at 18:53.
"We did some positive things," said Murray. "We showed some good puck movement on our power play, our penalty killing did good job. We showed some good structure and we've got something to build on."
More NHL players are expected to join the team before the tournament.
"You recognize that they'll be adding players who will play key roles and key minutes, but any time you wear the Canadian jersey it's important and you expect to win," said Doan.
Canada will practice Thursday in Finland before moving on to Russia.
Before the game, Canadian defenceman Cory Murphy, who played this season for Ilves in Tampere, was presented with an award for the top defenceman in the Finnish league. Murphy has signed with the Florida Panthers.