The 27-year-old singer reached out to her nearly 40 million followers on Twitter to address the issue, reported E!News.
"Sending bravery to LGBTs in Russia. The rise in government abuse is archaic. Hosing teenagers with pepper spray? Beatings? Mother Russia?," she tweeted.
"The Russian government is criminal. Oppression will be met with revolution. Russian LGBTs you are not alone. We will fight for your freedom...Why didn't you arrest me when you had the chance, Russia? Because you didn't want answer to the world?," the tweet further said.
Prosecutors are looking into possibly asking Russia's foreign ministry or federal migration service to press charges.
The investigation came about after Vitaly Milonov, the Russian politician who was behind St Petersburg's law banning gay propaganda brought the visa issue to the attention of authorities.
Milonov had tried to take legal action against Gaga following her 2012 show for speaking out in support of LGBT issues during her concert.