I assume that by "scale transformations" you mean dilations? If so, then Euclidean N-space is obviously not scale invariant. A dilation transformation is a map from Euclidean N-space to itself such that the distance ##d(x, y)## between two points gets mapped to ##r d(x, y)##, where ##r## is some nonzero real number. Any such transformation where ##r \neq 1## obviously changes distances, and therefore Euclidean N-space is not scale invariant by your own definition.
It seems to me that the definition of "scale invariant" that you are using, which is what I am trying to clarify, is crucial for understanding your question. If you mean "invariant under dilations", then that's fine, we can discuss what quantities in a QFT are invariant under dilations. But if that's the definition you are using, then your claim that Euclidean space is scale invariant is incorrect; so I'm trying to figure out whether you are just mistaken about that, or whether I'm not correctly understanding the definition of "scale invariant" that you are using.
This only shows that some geometric quantities in Euclidean geometry are scale invariant. It does not show that all geometric quantities in Euclidean geometry are scale invariant, which is what you are claiming.
I haven't talked about "physical lengths" at all. The metric is a mathematical function; it takes two points and gives you a number. "Scale invariant" means that that number should not change under scale transformations. But dilation transformations with ##r \neq 1##, as above, change the number that you get when you plug in the same two points.