The term 'persecution' is thrown around pretty indiscriminately. Christians in the US often use the term when they no longer experience their traditionally privileged social and legal positions and are being treated like everyone else.
If you mean actual persecution, where Christians are systematically deprived of liberties, social access, arrested, imprisoned, beaten, tortured, or murdered a disproportionally higher rate than the average because they are Christians - that does not happen in the Europe or the Americas.
Usually the simple punishment for foreigners where it's illegal is just deportation. Getting deported is hardly persecution.