Upvote:15
Just about any major European airport with connections to both Russia and Mexico should allow sterile transit.
To be able to use this facility, you have to make sure that you have a single layover in the Schengen area (no Mexico-Frankfurt-Vienna-Russia but only Mexico-Frankfurt-Russia or Mexico-Vienna-Russia) and that you buy the whole trip as a single reservation with partner airlines so that you don't need to collect your luggage during the layover.
Beyond that, some people require an airport transit visa even for sterile transit but that's not the case for Russian citizens anywhere in the Schengen area except France. Even in France, Russian citizens only need a visa if they are in transit from Armenia, Azerbaijan, Georgia, Ukraine, Belarus, Moldova, Turkey or Egypt so that restriction would not apply to you when coming from Mexico.