Nadezhda Tolokonnikova said on Twitter she, Maria Alyokhina and another member of the group arrived Sunday in Sochi to record a protest video.
"We're in Sochi to carry out a Pussy Riot protest. The song is called '[President Vladimir] Putin Will Teach You to Love the Motherland,'" she wrote.
Tolokonnikova told ABC News she and Alyokhina were harassed by security officers since their arrival in Sochi, and were taken into custody with a group of human rights activists Tuesday.
Alexander Popkov, a lawyer representing the three women, said they were accused of stealing from a hotel and some 30 to 40 officers were involved in the arrest.
The women were held for seven hours Sunday and an additional 10 hours Monday before they were released, the Moscow Times reported.
"We were surrounded by FSB [Russia's Federal Security Service] and other security services and they stopped us every day. They detained us to inspect our documents. We spent nine hours in the police station," Tolokonnikova told ABC News. We spent hours at the FSB and they openly told us that we are wanted."
Tolokonnikova and Alyokhina were jailed in 2012 on charges of hooliganism after they and Yekaterina Samutsevich led a punk prayer protest against Putin at Moscow's main cathedral.