Pyotr Pavlensky set fire to the wooden doors of the sprawling FSB building in downtown Moscow, Interfax reported, citing a police source.
He posted a video of the performance showing flames leaping to the top of the doorway as he stands in front of it, before a policeman comes running up.
"The FSB acts using a method of unending terror and holds onto power over 146 million people," Pavlensky said in a message released along with the video.
Pavlensky was taken to a police station and was being questioned on suspicion of petty hooliganism, reported Mediazona.Ru, a website that monitors the detention of activists.
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Two journalists who watched the performance were taken in for questioning before being released, reported the Dozhd independent channel, whose journalist was at the scene.
Pavlensky in 2013 nailed his scrotum to the cobblestone of Red Square to protest against tight police control.
He has been charged with vandalism and faces up to three years in jail for a performance in Saint Petersburg last year during which he and other activists set fire to tyres and waved a Ukrainian flag to simulate the Maidan protests that led to the ouster of a pro-Moscow leader in Ukraine.