They certainly have, IOTL, some kind of relation with Southern Europe.
While a fair deal may have come from Anatolia*, there's little reason to doubt that some Greek (Myceneans or peripherical) and other Balkanic peoples (Proto-Phrygians?) didn't participated to the general movement (Aqawasha/Ekwesh/Denyen, etc.)
It's even quite possible that peoples from Adriatic, Ionian and even Thyrrenic coasts joined the bandwagon, as hinted by some names (Shardana/Sherden, Sekelesh/Siculians).
Some suggested Sea Peoples migrated to Southern Europe, but I find this theory less convincing.
I strongly suggest : "The year civilization collapsed" by Eric Clide, about Final Bronze Age and the possible role of Sea Peoples (but as well climatology, political structures, etc.).
*Keeping in mind we're certainly talking of more than one wave : Ramsesses II already had a "Sea People" guard attached to his person, so SP coming from Anatolia may have been originated from other places.