Nuor Dawood, a representative of the asylum seekers, says this is a way of protesting against the Finnish asylum system.
"The whole situation now is out of control. They're still deporting people and putting them into custody. They pick them up from reception centres and the streets," he said.
They are going to seek asylum in Sweden and not wait here for forced deportation.
There could be anything from one hundred to a thousand asylum seekers who make the journey to Sweden, he added.
"We will try to negotiate with the Finnish police at the border ... We will cross in a legal way if they give us permission, otherwise we will not cross. This is going to be a very peaceful demonstration," he explained.
Usually, the border between the towns of Haparanda, in Sweden, and Tornio, in Finland, is completely open.
Both the Swedish border police and Migration Agency are preparing for an influx of asylum claims.
"We will be taking a closer look at the media reports. If a large number of people come to seek asylum we are prepared," said Lisa Danling at the Migration Agency. "Our officers are ready to process their claims."
She added that although each case will be looked at individually, the Dublin Convention will generally apply. This means that those who have already sought asylum in Finland are likely to be returned to Finland.