Esko Aho, who was Finland's youngest ever prime minister and took the Nordic country into the bloc in 1995, said the option to leave was "not at all clear" for UK voters.
"I think it was a fundamental mistake to have a referendum on exit," he told the Press Association.
"Because when you are entering the union a referendum plays a role, because you are giving up a certain amount of autonomy or right to make national decisions.
"You give up that to European institutions, so it is correct to ask ordinary citizens 'are you ready to give this part of our autonomy to supranational?'
"But when you are getting out, I think you should have, at least, a clear understanding of what out means.
"When we entered the union we had an option to vote no, to stay outside with existing rules, or to go in according to the accession treaty and finalise it with the European Union.
"But now in this case you had an option to stay but the option to go out was not at all clear."
Aho, who was elected as PM at the age of 36 in 1991, was speaking as he attended the St Petersburg International Economic Forum in Russia.
On a second referendum, he said the options of remain or Brexit with no-deal would be "very simple", but that he does not know if it would work for the UK.
Asked what advice he would offer to the next British prime minister, he added that May's successor will be taking on a "challenging job".
He added that the core of politics is the ability to make compromises, how he hopes the UK will be able to do this, and that deal-making means doing what the democratic system requires.
"For me the country looks extremely divided and this type of division has to be able to be overcome because otherwise it is going to have a lot of negative consequences," he said.
"Not only in the economy but in social life, cultural life and political life - in all spheres of life."
If Brexit happens Aho said Finland and many other countries will be losing a like-minded partner when it comes to free trade, deregulation and security policy issues.
"We have so many things which require international collaboration, so I don't believe that the UK will win by isolating itself from Europe," he said.
"So hopefully, at least, if exit is going to happen a lot of the connections will stay and a deal will be made in a way that this bridge between the European Union and the UK will stay."
