Here's the official word from the Service Canada website

Usually, you cannot receive EI regular benefits while outside Canada. (For exceptions, see "Am I allowed to leave Canada while receiving regular benefits?" in Section 4.) One measure we take to enforce this rule is to compare EI information with information from the Canada Border Services Agency. If we find you have been out of the country while collecting regular benefits, we will try to determine whether you are entitled to those benefits. If not, we will calculate your overpayment, which you will then have to repay.

We may also impose penalties of up to three times your weekly benefit rate or three times the amount of your overpayment. As well, you may have to work more hours to qualify for regular benefits in the future.

The Section 4 exception section states the following:

If you indicate that you have taken measures to be reached if an employment opportunity presents itself during your absence and that you are able to return to Canada within 48 hours, we will accept that you have proven your availability.