An official told RIA Novosti that the director, Milo Rau, has a visa for business only, which does not allow "work activity."
Officials gave Rau a warning, RIVA Novosti reported.
In the play, Rau tells the story of a recent, controversial case, in which three female activists, of the band Pussy Riot, were convicted of hooliganism allegedly motivated by religious hatred, RIA Novosti reported.
The three women allegedly played an anti-Putin punk prayer at Moscow's Christ the Savior Cathedral last year, RIA Novosti said.
Two of the activists were sentenced to two years in prison, RIA Novosti said, while the third, Yekaterina Samutsevich, had her sentence suspended.
Migration authorities entered the Sakharov Centre and interrupted the play while Samutsevich was on stage, RIA Novosti said.