The crowd gathered at the Yaroslavsky station resisted efforts by police to get them out of the station, RIA Novosti reported. Officers on loudspeakers said an unattended object had been found.
Supporters chanted "Navalny -- Moscow's mayor."
"We will go to the elections and we will win," Navalny said. "There is an election campaign ahead of us, seven weeks of pre-election battle."
Navalny was convicted Thursday in Kirov of large-scale embezzlement during his time as an aide to a political opponent of President Vladimir Putin. He was sentenced to five years in prison and fined more than $15,000 but a court free him provisionally Friday, after large demonstrations in Moscow against the sentence.
Navalny, who said he is appealing the verdict, charges Putin orchestrated a trumped-up political prosecution.
"We are a huge, powerful force. I'm very glad that we've started to recognize that force ourselves...I want to apologize to you for not believing so strongly in you," Navalny said, thanking the crowd for support he said helped free him.
Navalny, a leader in last year's anti-Putin demonstrations, is the candidate of the Republican Party of Russia -- People's Freedom Party.