I know that ESA is cooperating with Roscosmos on the ExoMars project. But what were the reasons of selecting a Proton launch vehicle instead of Ariane? Is it because Baikonur is a more favourable launch site (than French Guyana)?
As @Antzi said in his now-deleted answer, initially ExoMars was to be a collaboration between ESA and NASA, with NASA providing the launches. When NASA left the program, ESA sought a new deal, this time with Roscosmos.
As of 2009, in April 2018, NASA's Atlas rocket would launch the European Space Agency's long-delayed ExoMars rover and a smaller NASA rover (Mars Astrobiology Explorer-Cacher, MAX-C) to look for signs of life on Mars. The rovers were scheduled to land in the same location on the Red Planet in January 2019. Thanks to a highly intelligent navigation systems, the mobile robots would travel for several miles across the Martian landscape. The European spacecraft would use a ground-penetrating radar to locate subsurface features associated with the past presence of water. It would then drill as deep as two meters below the surface to extract samples for in-situ analysis.
By 2011, Russian and European scientists did discuss coordination between ExoMars and Mars-NET project, which at the time was expected to coincide with ExoMars. A joint launch of both spacecraft on a single Russian Proton rocket had been considered, however no agreement was reached. Russian scientists also proposed an infrared spectrometer and particle detectors for installation on the ExoMars rover. Russian-built radioactive heat generators could also be integrated into landers to provide thermal control on the frozen martian surface.
However all plans for the ExoMars mission in 2016, along with the follow-on launch in 2018, ran into trouble by 2011. NASA failed to secure funds for the procurement of the rocket to launch the orbiter and the EDM spacecraft and possibly for the already long-delayed ExoMars rover. As a result, in October 2011, European space officials were quoted in the Western media as saying that Russia had been "invited" into the project in exchange for... providing a heavy-lifting Proton rocket to launch the troubled US-European mission in 2016. According to European space officials, Russians would be "compensated" with the "right" to install their experiments onboard the EDM and ExoMars spacecraft and access the scientific return from the missions.
Despite initial misgivings (Russia had phased out Proton for scientific missions), they agreed after all:
By the Spring of 2012, Russian space officials agreed to provide a pair of Proton rockets to launch both ExoMars missions -- in 2016 and 2018.
Baikonur is definitely less favorable launch site than Guiana, with highly inclined orbits, but that doesn't play such a big role with interplanetary missions as inclination correction on very high orbits is relatively inexpensive.
But first, there are simple, direct budget concerns: ExoMars doesn't require the large payload capacity of Arianne (and it's difficult to share payload space with commercial missions on an interplanetary launch), and then Proton-M cost per kg to orbit is significantly lower - almost half the price of Ariane 5ES.
And then - considering that Roscosmos provides the launchers, the only costs of ESA are development of the actual payloads. Surely Roscosmos wouldn't be willing to fund an Arianne launch instead...