Maria Alyokhina and Nadezhda Tolokonnikova were being held on suspicion of theft.
They were convicted of hooliganism over a protest song against President Vladimir Putin in Moscow’s largest cathedral.
Maria Alyokhina and Nadezhda Tolokonnikova staged the protest along with other band members and were only released from jail in December.
The two band members and two other women emerged from the police station in Sochi wearing their trademark ski masks after their brief detention.
The group of women then ran down the street outside the police station singing: “Putin will teach you to live the motherland” – a new song which correspondents say sarcastically lampoons the president’s leadership.
“Now there is an occupation of this territory, because the city is under total police and security control,” Nadezhda Tolokonnikova told reporters.
“We have arrived here on Sunday [and] we are being detained all the time. Even when we were driving our car and walking in the street. So they are looking for any reasons to arrest us.”
Nadezhda Tolokonnikova said they were detained for 10 hours by police on Monday after arriving “to make a political claim about the Sochi Olympics”.
“There is no space for political protest here,” she said.
“If you want to say something critical you will be detained.”
Maria Alyokhina said that the pair were going to release a new song and prepare a video “on the basis of what has happened to us during this day-and-a-half”.
Earlier this month, six members of Pussy Riot signed an open letter insisting that Maria Alyokhina and Nadezdha Tolokonnikova should no longer be described as members of the punk rock collective.
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