The 67-year-old star, who has long campaigned for gay rights had planned to attend the major sporting event next year, decided against it after new laws were passed which make life difficult for gay people in the country, reported Contactmusic.
"I have so many Russian friends and I wanted to go to the Olympics and now I can't. I don't understand it. The first time I went to Russia everything was fine and then this just exploded.
"My friend Oleg said, 'This is so strange because it's truly not the way the people feel out there. They are afraid over there," she said.