In ancient times there was a species of lion in southern Europe which has since gone extinct. In the early- to mid-first millennium BCE, lions were present but not common in places like the Balkans and the uplands of the Italian peninsula. There was also the asiatic lion, panthera leo Persica, in a broad range of territory stretching from the Bosporus to Iran. The European variant was already (probably) endangered by the era of Classical Athens and Sparta (5th century BCE), and had all but disappeared by 100 BCE. The asiatic lion survived into the Common Era, but apparently only a few centuries. The popularity and spread of Roman animal hunts (venationes) in amphitheaters throughout the Empire probably contributed to the destruction of many big cats, but there were probably climatological/ecological factors as well.

There is a whole section of the FAQ on this topic here.