Europe does experience tornadoes, though they don't occur as frequently as in certain regions of the US like tornado alley for example. While the US records thousands of tornadoes annually, Europe's annual count stays in the few hundreds.
The lower frequency of tornadoes in Europe compared to regions of the US, Asia, or Southern America can be attributed to several factors:
geographic size: Tornadoes are a relatively narrow band, therefore requiring specific weather characteristics (like humidity, shear) and certain topographic conditions on a broad range that stretches hundreds of kilometers. Europe's landmass does not offer this size to form a similar set of weather conditions needed for a tornado over long distance without obstacles. Instead, tornadoes in Europe usually develop on a more regional scale within storms as they pass the continent.