Russian police on Monday detained for several hours two members of Pussy Riot after they staged a protest in support of a jailed Ukrainian filmmaker in a Siberian city.

Maria Alyokhina, one of the punk rock group's members previously jailed for a protest against President Vladimir Putin, wrote on Twitter that she and Olga Borisova were being held in Yakutsk.

Alyokhina tweeted that they were taken to a police station after protesting in support of filmmaker Oleg Sentsov, who is serving a 20-year term for "terrorist" offences in Yakutsk, almost 5,000 kilometres (3,000 miles) east of Moscow.

Borisova, in a video from a police car posted on Twitter, added: "We're going to the police station... on suspicion of committing an administrative offence, (holding) an unsanctioned rally."

The duo was taken from the station to court, where they waited for several hours before the judge ruled that the police had incorrectly filled out paperwork and both women were released, Borisova said.

Alyokhina on Sunday posted photos and a video of their brief protest on a bridge, calling Sentsov's case "one of the key political cases in the history of our country."

For the protest, the women donned the group's signature colourful balaclavas and held flares and a sign saying "Free Sentsov."

Sentsov was convicted for masterminding arson attacks on pro-Kremlin party offices in Crimea after Russia annexed the peninsula from Ukraine in March 2014.

His case was denounced by the West and filmmakers around the world continue to speak out in support for him.

Ukrainian Foreign Minister Pavlo Klimkin praised the protest, writing on Twitter: "Respect to @pussyrrriot for building the bridge of freedom in Yakutsk. #FreeSentsov"

Alyokhina served a prison term for a protest performance in a Moscow cathedral, being convicted of hooliganism motivated by religious hatred.