I agree with @BrianRomanchuk's +1 answer but I would like to expand on it to give you some more intuition why that holds.
According to a simple monetary model of exchange rates, the exchange rate between two currencies (here Euro and Russian Ruble) is given by:
$$S = (m - m^*) -\psi( y - y^* ) + \lambda (i - i^*)$$
where $m$ is the log of money supply, $y$ the log of real output $i$ the interest rate and $*$ indicates foreign party - so from Russian perspective that would be Euro-zone.
The model says that the exchange rate depends on the difference between money supply in RU and Euro-zone, difference in real output and difference in interest rates. So in a long run equilibrium the exchange rate already accounts for the fact that interest rate between Russia and Euro-zone is different. That is in the long run equilibrium you cant just make any profit from interest rate differential alone.
This being said, even given the above you might actually be able to save some money by borrowing in foreign currency. The reason for this is that exchange rate fluctuates not just based on the changes in the interest rates but also the other two fundamentals - money supply and real output. If the money supply in Euro-zone will grow faster than in Russia, or if Euro-zones real economy will experience worse growth than Russia the ruble might become stronger and since your debt is set in nominal terms in euros you would be profiting of that.
However, doing the above is basically an equivalent of speculating on the foreign exchange market. It is equivalent of borrowing in euro to buy ruble and then hoping ruble will strengthen relative to euro enough so you can pay the loan back with interest and keep some profit. You can do that if you want but I personally would not recommend doing that - especially if you are not willing to take the risk that the exchange rate will develop the other way and you will loose money.
Furthermore, the above relationship is based on long run equilibrium. In short run there might be some arbitrage opportunities that might allow you to make risk-less profit from borrowing in another currency - but those usually dont last long and you have to know what you are doing to spot them.
As @BrianRomanchuk's mentions households that tried to do this in history often run into difficulties. You can google some 'financial horror' stories about Hungarian euro-denominated mortgages if you want. Of course, sometimes people actually benefit from having foreign currency denominated mortgage but its a risk and it is probably better to leave exchange speculation to professional forex traders.