[Verginius Rufus]

Herodotus claims that Xerxes' pack-camels were attacked by lions (in Macedonia) and describes an area of the Balkans which supposedly abounded in lions (7.125-126).

There's the Lion Gate at Mycenae and the story of Heracles (Hercules) and the Nemean lion (Nemea is in the same region of Greece as Mycenae), but I don't know if there is any physical evidence for lions in Greece or the Balkans.

[Boogieman]

There is physical evidence for European lions. Fossils, cave paintings, and other fossils with lion teeth marks on the bones.