Russia will "destroy freedom" in Europe and pursue its neighbours, Ukrainian President Volodymyr Zelensky warned Swedish lawmakers in an address on Thursday.

"If Ukraine wouldn't endure and protect ourselves, it would mean that ... all neighbours of Russia are in danger from now on," he said in a video link speech that got a standing ovation.

"Russia went to war against Ukraine because they want to advance further in Europe, they want to destroy freedom in Europe."

"This is a fundamental challenge for the European security and defence system", he said, calling for Europe to issue hard-hitting weekly sanctions packages against Russia.

He warned Sweden that Moscow had its Baltic Sea island of Gotland in its sights.

Sweden reopened its garrison on Gotland in 2018, in the wake of Russia's annexation of Crimea, after shutting it down in 2004.

"It would mean that you are in danger, because it is only the sea that divides you and this aggressive policy", he said.

"Russian propagandists already discuss on air, on TV broadcasts, how Russia will occupy Gotland and how they will control it for decades", he added.

"They think it would be comfortable to put anti-defence systems and bases there to cover the advance on the Baltic states."

Zelensky thanked Sweden for its support, after it agreed to ship weapons to a country at war for the first time since 1939.

Not a member of NATO and officially militarily non-aligned, Stockholm on Thursday announced a second delivery of 5,000 anti-tank launchers.

Support for NATO membership has soared in Sweden since Russia's invasion, but Prime Minister Magdalena Andersson has so far ruled out the idea.

Joining the alliance risks "destabilising" northern Europe, she said.

Zelensky, who has made multiple appearances by video link before parliaments in other countries in recent weeks, was due to address an extraordinary NATO summit later Thursday.