The planes were spotted in international airspace but heading towards Sweden at around 5.30am.
None of the aircraft - two TU-22M planes and two SU-27 fighter jets - were using transponders, the telecommunications devices that emit and gather signals from planes.
"It is the first time in years that we have seen precisely this type of aircraft over the Baltic Sea," Anders Grenstad, Deputy Director of Operations for the Swedish Armed Forces told the TT news agency.
He said the planes were understood to have first flown over the Baltic coast, then turned south toward Bornholm and Gotland before heading back to the Finnish Gulf.
"The threat against Sweden has not increased but the Armed Forces follow as always, in different ways, the increased activity in the area," said Göran Mårtensson, another spokesperson for the Swedish military in a press release.
Sweden's Defence Minister Peter Hultqvist told TT that as the Russian jets were flying in international airspace, they had not broken any rules, but added that flying without a transponder was "inappropriate behaviour".
But Foreign Minister Margot Wallström used stronger language to describe the incident, saying in an interview with TT: "We need to get the Russian side to respect the existing rules framework and put an end to something which has been tremendously challenging and also downright dangerous for civil aviation."
"We are tired to keep having to protest these violations, or more accurately, rules violations," she added.
Earlier this month the Swedish government announced a 6.2 billion-kronor hike in defence spending following growing concerns about Russia's presence in the region.
In September 2014 two SU-24 fighter-bombers allegedly entered Swedish airspace in what the former Foreign Minister Carl Bildt called "the most serious aerial incursion by the Russians" in almost a decade.
The following month a foreign submarine was spotted in Swedish waters, although the Swedish military was unable to determine where it came from. Earlier this month a second 'secret' submarine hunt was also reported.
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“I think that there is a new security situation in the Baltic area and in the Baltic Sea,” Sweden’s Defence Minister Peter Hultqvist told The Local on the day the first sighting was confirmed.
The latest spotting of Russian jets in Scandinavia comes just days after tensions between Sweden's neighbour Denmark and Russia also intensified over comments made by Moscow’s representative in Copenhagen, who warned that Denmark faced a potential nuclear attack for aligning itself with Nato’s missile defence system.
“I don’t think the Danes fully understand the consequences of what will happen if Denmark joins the American-controlled missile defence. If it happens, Danish war ships will become targets for Russian atomic missiles,” Russian Ambassador Mikhail Vanin wrote in an op-ed in Jyllands-Posten newspaper.