What is the right form of answer for the question "Where?"

Question

в Хельсинки

OR

в Хельсинках?

Answer 1

According to paragraph 184 (non-declining nouns) of the Short Russian Grammar (direct link - in Russian), foreign-language toponyms that end in vowels other than -а and -ы do not decline.

Hence, you'll get:

Где?
В Хельсинки

but

Где?
В Каннах

You do often hear в Хельсинках, however this usage is colloquial and is not grammatically correct. This is just an analogue of the declension of Russian toponyms with similar ending. Compare the above with:

Где?
В Лужниках

Answer 2

Toponyms which calque plural from the language of origin do decline as plurals in Russian: в Афинах / Кумах / Каннах / Сиракузах, just the same as native Russian toponyms in plural: в Мытищах / Химках / Чебоксарах

However, Хельсинки is not plural in Finnish and hence not plural in Russian.

So it's a singular noun, and as any singular Russian noun ending in -и, is not declinable.

Correct form would be в Хельсинки.