The Greek MEP welcomed the proposal on Tuesday to introduce an EU-wide defense force presented by the French Union, President Emmanuel Macron.
Mr Macron insisted that Brussels should speed up its plans to create an EU army to protect the bloc from threats and refrain from NATO security.
When asked if she believes the European Union needs her own army, Ms. Kaili told Raw Politics, "Of course."
"You know, we are the borders of Europe, so Greece and Italy suffer the most from the migration and refugee crisis, and the threat we have from a NATO ally like Turkey is, in my opinion, something if we can wanting to deal with us must be with the rest of Europe. "
Ms. Kaili also reiterated Mr Macron's suggestion that an EU army offer additional protection to Member States threatened by the increasing hostility of Russia.
She continued, "Of course, for several countries, it is important for the borders near Russia.
"I think a European army will actually make all these problems European issues because they are too heavy for Europe and for Greece and Italy itself."
In a shocking interview on Tuesday, President Macron said: "I believe in a project of a sovereign Europe, a mighty Europe. We will not protect the Europeans unless we commit ourselves to a true European army.
"Against Russia, which is on our frontier and has shown that it can be a threat, I want to build a real security debate with Russia, a country that I respect, that is European, we must have a Europe that defends itself and not only depends on the United States – and more sovereign. "
With the exception of France and Britain, European NATO members have largely relied on American firepower since the Second World War to protect them.
Mr. Macron cited increasing Russian hostility as the main cause of concern that fueled his calls for European defense.
He continued, "Against Russia, which is on our frontier and has shown that it can be a threat, I want to build a real security debate with Russia, a country that I respect, that is European.
"We have to have a Europe that defends itself and depends not only on the United States – and more sovereign."
Commenting on Mr Macron's comments, the European Commission's spokesman, Margaritis Schinas, said that a new EU cooperation project on defense procurement and research already exists.
Mr. Schinas added, "I do not think this defense identity will begin with an EU army.
"We will see that someday, probably at the end of this process, we will see something that people already refer to as the EU army or pooling of EU resources to make this EU defense identity more visible and meaningful."
However, British MEP Nigel Farage has come up against the idea of rousing an EU defense force: "A true European army says Emmanuel Macron, who supports the statements of Commission President Jean-Claude Juncker, who said not so long ago that Consideration of NATO could not be longer than practical alibi used to argue against major European efforts.
"These people really worry me. I think a European army is very dangerous. What an insult and concern for those who believe in working with America and others in NATO. "