From :help regexp (lightly edited), you need to use some specific syntax to select unicode characters with a regular expression in Vim:
\%u match specified multibyte character (eg \%u20ac)
That is, to search for the unicode character with hex code 20AC, enter this into your search pattern:
\%u20ac
The full table of character search patterns includes some additional options:
\%d match specified decimal character (eg \%d123)
\%x match specified hex character (eg \%x2a)
\%o match specified octal character (eg \%o040)
\%u match specified multibyte character (eg \%u20ac)
\%U match specified large multibyte character (eg \%U12345678)