According to wikipedia, https://en.wikipedia.org/wiki/Chelyabinsk_Oblast , Chelyabinsk is located in Asia. Quoting, "In Chelyabinsk Oblast, Zlatoust city, Katav-Ivanovsk, and Satka are located in Europe, while Chelyabinsk, Troitsk, and Miass are in Asia. Magnitogorsk is located on both continents."
My source (hugequiz) lists it as European, the wikipedia article about the city on the Europe-Asia border, it's even included in the "Biggest Cities in Europe Quiz".