The woman, who underwent gender reassignment surgery in 2009, had complained that Finnish authorities had refused to recognize her as a woman on official documentation until she changed her marriage status.
But the European Court of Human Rights ruled that it was "not disproportionate to require the conversion of a marriage into a registered partnership as a precondition to legal recognition of an acquired gender".
Judges at the Strasbourg-based court said civil partnerships in Finland offer legal protection for same-sex couples "almost identical to that of marriage."
They also said that changing the relationship status would not affect the paternity of a daughter born to the couple, or the responsibility either of them has for her care.
Heli Hamalainen, who brought the case, was born male in 1963 and married a woman in 1996. They had a child in 2002, and seven years later, he underwent surgery to become a woman.
Afterwards, however, local authorities refused to modify Hamalainen's identity number to indicate her female gender in official documents unless her wife agreed to convert the marriage into a civil partnership.
The couple objected, saying divorce went against their religious beliefs and offered less security than a marriage.
Hamalainen had brought proceedings against the decision in Finland before taking the case to the ECHR.
However, the court decided there had not been a breach of the right to respect for private and family life in this case, nor had their been any discrimination against the couple because of Hamalainen's change of gender.