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Maria Maria Alyokhina and Nadezhda Tolokonnikova, who were freed from jail in December, said they had been detained in the centre of the town on suspicion of a criminal offence.They spent two years in prison for a singing a protest song in a cathedral.
The town of Sochi is some distance from where the Games are taking place.
Nadezhda Tolokonnikova told the BBC's Steven Rosenberg that she and Maria Alyokhina, are being held at a police station after being detained on suspicion of "theft". They have not yet been officially charged.
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