LUXEMBOURG – Europe is not at war with Russia, but it needs to take its threats seriously, Luxembourg's head of state told CNBC Tuesday in an exclusive interview.

A number of European nations have flagged new Russian threats in recent weeks. Poland, Romania and Estonia have all reported airspace violations by Russian jets or drones, while Denmark cited several "drone incidents" last week, and said it could not rule out that Moscow was involved.

It has led some European officials, including the EU's Commissioner for Economic Affairs Valdis Dombrovskis , to say Europe is already in a "hybrid war" with Russia.

"We clearly see that Russia has become a permanent threat to European security," Luc Frieden, prime minister of Luxembourg, told CNBC Tuesday, although he said he did not yet beli

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