The search is separate from the trial that led to three band members being jailed for two years – a verdict that drew an international outcry.
Investigators have not named the new suspects, nor said how many are being sought.
Police have also questioned ex-chess champion Garry Kasparov for allegedly biting a policeman’s hand at a protest.
Garry Kasparov denied the allegation and accused the police of having detained him unjustly and hit him. He was arrested with several other opposition activists outside the Moscow court before the Pussy Riot trio were sentenced on Friday.
The women – Maria Alyokhina, 24, Nadezhda Tolokonnikova, 22, and Yekaterina Samutsevich, 29 – were convicted of hooliganism motivated by religious hatred.
Along with other members of their band, they staged a flashmob-style performance of a protest song near the altar of Christ the Saviour cathedral on 21 February.
Reports say two other band members participated. But last week seven unidentified Pussy Riot members in balaclavas met Western journalists and said the trial had only made them more determined.
The three sentenced on Friday said they did not know the other band members’ names, because they had an anonymity rule and just used nicknames for each other.
The British actor and comedian Stephen Fry has published a two-page open letter of support for Pussy Riot, joining other global celebrities in deploring the Russian authorities’ handling of the case.
Stephen Fry condemned the “monstrous injustice and preposterous tyranny” in the case, calling the women’s two-year prison sentence “astoundingly unfair and disproportionate”.
“Putin hasn’t made a monster of himself. He has made a fool of himself. It is often said that had the world laughed at Hitler early enough he would never have taken the hold on power he did.
“I do not call Putin a Hitler. Yet. But it is time to laugh him out of this stance and you out of incarceration,” Stephen Fry wrote.
In Helsinki on Monday, Russian Foreign Minister Sergei Lavrov warned against overreacting, saying the judicial process had not yet been exhausted.
“There is still the possibility of filing an appeal and the lawyers for the young girls plan to do so,” he said, quoted by AFP news agency.
“Let’s not draw any rash conclusions and go off into hysterics,” Sergei Lavrov said.
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