The two suspects are accused of driving around on a scooter, snatching purses and driving off, RIA Novosti reported.
The detainees, who are 16 and 21 years old, allegedly robbed Khorkina, a two-time Olympic champion and former parliamentarian.
Police arrested the suspects Wednesday and both face robbery charges.
Khorkina, who won two golds in 1996 and 2000, will be a torchbearer for the upcoming Winter Games in Sochi, RIA Novosti said.
She also served in Parliament from 2007 to 2011.
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