Nadezhda Tolokonnikova and Maria Alekhina, along with seven others, were detained by police near Sochi's ferry terminal, a popular area for fans celebrating the Olympics, and taken to a police station for questioning.
Police said they were questioned in connection with a theft at the hotel where they were staying. No charges were filed.
Tolokonnikova said the detention was the latest in a series of harassments against the group since Sunday. She said they had been detained for several hours on the previous two days.
Pussy Riot gained international attention in 2012 after barging into Moscow's main cathedral and performing a "punk prayer" in which they entreated the Virgin Mary to save Russia from Vladimir Putin, who was on the verge of returning to the Russian presidency.
Tolokonnikova and Alekhina were sentenced to two years in prison, but were released in December under an amnesty bill. Earlier today, Tolokonnikova wrote on her Twitter account that "At the moment of detention, we were not conducting any actions, we were walking in Sochi."