That just has got to be an urban legend. I mean two things spring to mind:
1) Phonebills if you keep an open line during a 4 hour hunt, just to listen to your dog barking.
2) Coverage. I seriously doubt the mobile net is so enormously well built out in Finland that it covers the deep forrest regions where no one lives (and where people go to hunt). Can you imagine the number of base stations if you want complete coverage in hilly dense forrest-terrain?