In Finland (and I guess in some other European countries) deportation in itself is not a sufficient reason for arrest. Once you have been informed of the decision, you get some time to leave voluntarily, or to challenge the decision in the administrative court system. But you won't be arrested until the decision is final and you have failed to leave voluntarily, unless there are specific reasons to the contrary. And those specific reasons are typically ones that would justify arresting a citizen as well.

I believe they are free to challenge the decision in an administrative court in the US (under Attorney General, not an Article III court) but they can be arrested. In any case, most countries would reserve the rights to kick you out. That's the deal you make with the country when you choose to get their visa and go there.