I've seen some consider Kazakhstan to be a part of Europe. I suspect the region stretches, depending on the speaker, far enough east to encompass the speaker's country, regardless of its location (but no further).
Kazahstan is in Central Asia probably because it's so big. Even their timezones are prefixed with Asia. The Caspian Sea and the Ural Mountains are the eastern limits of Europe, so everything on the Caspian's west bank is in Europe. Astrakhan is in Europe for instance.