Climate change has been shown to cause poleward range shifts of species. These shifts are typically demonstrated using presence–absence data, which can mask the potential changes in the abundance of species. Moreover, changes in the mean centre of weighted density of species are seldom examined, and comparisons between these two methods are even rarer. Here, we studied the change in the mean weighted latitude of density (MWLD) of 94 bird species in Finland, northern Europe, using data covering a north–south gradient of over 1000 km from the 1970s to the 2010s. The MWLD shifted northward on average 1.26 km yr−1, and this shift was significantly stronger in northern species compared to southern species. These shifts can be related to climate warming during the study period, because the annual temperature had increased more in northern Finland (by 1.7 °C) than in southern Finland (by 1.4 °C), although direct causal links cannot be shown. Density shifts of species distributed over the whole country did not differ from shifts in species situated on the edge of the species range in southern and northern species. This means that density shifts occur both in the core and on the edge of species distribution. The species-specific comparison of MWLD values with corresponding changes in the mean weighted latitude using presence–absence atlas data (MWL) revealed that the MWLD moved more slowly than the MWL in the atlas data in the southern species examined, but more rapidly in the northern species. Our findings highlight that population densities are also moving rapidly towards the poles and the use of presence–absence data can mask the shift of population densities. We encourage use of abundance data in studies considering the effects of climate change on biodiversity.