"If we want to have a secure and stable European Union and with it a secure Europe, it's not good if there are holes," Rama told the paper.
"In addition, we shouldn't forget that there are also other, third, actors, who are playing their game and who could profit if the EU leaves a vacuum there," he said."I'm talking about Russia, but I'm also talking about radical Islam," he added.
The Balkan countries are sandwiched between EU members Greece and Hungary. Croatia and Slovenia have already joined NATO and the EU, while Serbia, Bosnia, Kosovo, Macedonia, Montenegro and Albania are all pursuing EU membership.
The six Balkan countries are all at different stages in joining the EU. Serbia aims to complete accession talks by 2019. However, taking on new members has sunk down the list of the EU's priorities.
Diplomats from the region have said for some time that Russia is trying to boost its influence in countries such as Montenegro, Serbia, Macedonia and now also Albania.
Rama said his country would continue to move towards EU accession, but cast doubt on the bloc's ability to take on new members.
"It's not about how long we still need, it's about how the European Union will continue to develop. In the meantime, we are politically in fairly good form, the European Union is not at present."
(Writing by Caroline Copley)