I've seen this factoid in several places and am trying to find a good source for it. I noticed that Hitler mentioned it in his speech on 22 June 1941 (when he attacked the Soviet Union) 1, and according to him, Molotov supposedly said this during the conversations with Hitler in November 1940. But then I found the English translation of a German memorandum about those conversations 2 and there I can't see Molotov saying anything like that. So what I'm wondering about is if we have any other source besides Hitler's own word that Molotov (or some other Soviet official) said that they felt threatened by Finland.
I can't find something like that exactly, but in Trotter's "Frozen Hell" a chapter 2 is devoted to possible justification in two words:Karelian Isthmus
Here's the "steel in his voice" telegram that Molotov sent to Finland on Oct 6, 1939: http://www.histdoc.net/history/NKID1939-10-06.htm
Here's the list of demands from Soviets that Finland mistakenly thought negotiable: http://www.histdoc.net/history/FOFI1939-10-14.html
Finally this is the closest that I could find where Molotov actually made public overtures about Finland:
"All the more strikingly, therefore, does this act of the Soviet state demonstrate its good will. Our relations with Finland are of a special character. This is to be explained chiefly by the fact that in Finland there is a greater amount of outside influence on the part of third powers. An impartial person must admit, however, that the same problems concerning the security of the Soviet Union and, particularly, of Leningrad that figured in the negotiations with Esthonia also figure in the negotiations with Finland. In a certain sense, it may be said, that in this case the problem of the security of the Soviet Union is even more acute, inasmuch as Leningrad, which after Moscow is the most important city of the Soviet state, is situated at a distance of only 32 km. from the Finnish border. This means that the distance of Leningrad from the border of a foreign state is less than that required for modern long-range guns to shell it. On the other hand, the approaches to Leningrad from the sea also depend to a large extent on whether Finland, to which belongs the entire northern shore of the Gulf of Finland and all the islands along the central part of the Gulf of Finland, is hostile or friendly toward the Soviet Union. In view of this, as well as in view of the present situation in Europe, it may be expected that Finland will display the necessary understanding."