It’s a similar case to Russia, while they have territory in Asia their capitals are in Europe (well, half of it at least) the difference is that the majority of Russians population actually lives in Europe, while that’s not the case for Turkey
Turkey is located both in the continent of Asia and in the continent of Europe. This position of Turkey is called "Eurasia" in the world. It is the point where Europe and Asia meet. However, most of them are located in Asia.