President Vladimir Putin expressed "grave concern" over the incident, Russian news agencies quoted his spokesman as saying.
A statement from Russia's foreign ministry labeled the event a "provocation," and warned of the possibility of "irreversible consequences, the responsibility for which lies on the Ukrainian side."
Russia said the shell hit the courtyard of a residential building in the Russian town of Donetsk, near the Ukrainian city of the same name that has become a rebel stronghold, early today.
Ukrainian officials denied that any Ukrainian shells had fallen on Russian territory. Andriy Lysenko, a spokesman for Ukraine's National Security and Defense Council, was quoted by Interfax Ukraine as saying that Ukrainian forces "do not fire on the territory of a neighbouring country.
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They do not fire on residential areas." He placed blame for the attack on the rebels themselves.
Russia has made repeated claims that settlements along its porous border with Ukraine, which the West and Kiev say is a key supply route for the rebels, have been hit by Ukrainian fire, but no deaths have been previously reported.
Brazilian officials said yesterday that both Putin and his Ukrainian counterpart, Petro Poroshenko, would attend the match. But Poroshenko announced today that he would not be going.
Talks between Russia and Ukraine over a cease-fire between the rebels and Kiev's troops have stalled in recent weeks, as Ukrainian troops have succeeded in pushing insurgents out of key towns in the east.