Maria Alyokhina, 25, had requested parole for the second time at a regional court in Perm, an industrial city more than 1,100 kilometre east of Moscow, the RAPSI news agency reported.
Alyokhina is one of three members of Pussy Riot who were sentenced to two years in prison after they sang a "Punk Prayer" against the Russian Orthodox Church's close ties with Putin in Moscow's central Church of Christ the Saviour in February 2012.
Their convictions on charges of hooliganism motivated by religious hatred have been denounced as disproportionate by many liberal Russians and public figures around the world, from music legend Paul McCartney to Myanmar's democracy icon Aung San Suu Kyi.
More than 100 famous musicians including Madonna, Elton John and Sting signed an open letter released on Monday appealing for the women to be freed.
Also Read
"While understanding the sensitivities of protesting in a place of worship, we ask that the Russian authorities review these harsh sentences, so that you may return to your children, your families and your lives," stars wrote in the letter coordinated by rights group Amnesty International.
Wearing a striped dress and black headscarf, Alyokhina complained that she had not been brought to the courtroom despite being transferred to a nearby prison and had not been able to read legal papers.
After the hearing had lasted more than five hours, Alyokhina protested that she wanted to pull out and turned away from the camera.
"I announce that I am leaving this process since my rights are fundamentally breached here," Alyokhina was quoted as saying by political art group Voina, which followed the hearing in court, on its Twitter feed.
She then asked a prison guard to lead her away. But the court ruled to continue the hearing with Alyokhina's lawyer Irina Khrunova representing her.
Prosecutors had asked the court not to grant parole, saying there was no legal basis to change a decision in May not to release Alyokhina.