The incident took place one day after two members of the band, Maria Alyokhina and Nadezhda Tolokonnikova, as well as journalists and Russian human rights activists were held in a police station just miles from the Olympic Park.
A prominent Italian gay rights activist Vladimir Luxuria claimed to have been arrested during the Games.
Luxuria, who become Europe's first openly transgender parliamentarian when she was elected to the Italian chamber of deputies, was allegedly detained after displaying a banner which read "Gay is OK" while watching the action in Sochi. Russian officials said there was no record of her detention.
"I think it is important (to have) the opportunity to talk internationally about these things because otherwise these things happen in Russia and nobody knows, nobody cares," Luxuria told reporters.
"They think: 'Well, it's not in our country, it's far away, it's in Russia, who cares?'"