Mercedes continued to lag behind the Italian team, Valtteri Bottas third fastest and 0.363 seconds behind Vettel and 0.178secs ahead of Lewis Hamilton.
Mercedes appear to have improved their one-lap pace after problems on Friday.
But Ferrari seem to have an advantage over one lap for the first time this season.
However, Mercedes - who have taken all three pole positions this season - always make a step in qualifying, believed to be because of a potent extra engine mode they can access for the crucial one-off laps that decide the grid.
That suggests the battle for pole position will be extremely closely fought when qualifying starts at 13:00 BST.
Vettel, winner of two of the three races so far this season and leading Hamilton in the championship by seven points, looks in formidable form, 0.337secs ahead of Raikkonen, who snuck ahead of Bottas by just 0.026secs.
The top two teams were far ahead of the rest of the field. Max Verstappen, flinging his Red Bull around the Sochi track in spectacular fashion, was nearly a second slower than Hamilton.
The Dutchman's team-mate Daniel Ricciardo suffered a breakdown close to the end of the session and was down in eighth behind Williams' Felipe Massa and Renault's Nico Hulkenberg.
The German's team-mate Jolyon Palmer failed to set a time because of an engine problem and the Englishman needs a new power-unit for qualifying.
Ferrari dominated final practice at the Russian Grand Prix with Sebastian Vettel heading team-mate Kimi Raikkonen in a one-two.