Check if string ends with one of the strings from a list

What is the pythonic way of writing the following code?

extensions = ['.mp3','.avi']
file_name="test.mp3"

for extension in extensions:
    if file_name.endswith(extension):
        #do stuff

I have a vague memory that the explicit declaration of the for loop can be avoided and be written in the if condition. Is this true?