Pension accrues on your work abroad according to the legislation of the country you work in. Your pension cover will be most secure if you go work in an EU or EEA country or a country with which Finland has a social security agreement. Working in a country other than these may mean not accruing any pension at all. In this case you can take out private pension insurance for yourself.
If a Finnish employer has posted you to work abroad, you will usually remain covered by the Finnish pension insurance scheme for the duration of the agreement.
Carefully retain all of the certificates you have from your work abroad. When you later apply for your pension you will simultaneously also be able to apply for the pension accrued in EU and social security agreement countries.