In his first statement since Saturday, Yanukovych said he still considers himself the country's legitimate leader and that the actions of the national Parliament stripping him of his powers were illegal, the Wall Street Journal reported.
Yanukovych's statement was provided to Russian news agencies, which also reported Russia would provide him protection.
In it, he said people in Crimea and Ukraine's southeast weren't willing to accept a new administration elected by "a mob in a square," referring to Kiev's Independence Square where demonstrators gathered during months of protests and have remained to weigh in on the selection of an interim government.
"It has become obvious that the people in the southeast of Ukraine and Crimea do not accept the anarchy and lawlessness in the country," he said.
"I officially declare my intention to fight to the end for the implementation of important compromise agreements to bring Ukraine out of its deep political crisis.
"I continue to consider myself the lawful head of the Ukrainian government, elected on the basis of the free expression of the will of Ukrainian citizens," he said in the statement as reported by RIA Novosti and ITAR-Tass. "I cannot be indifferent to the tragic events in my homeland."
Yanukovych, whose whereabouts are unknown, had asked Russia to ensure his personal safety "against the actions of extremists," and Moscow agreed to provide security to Yanukovych within Russian territory, Russian state news agencies reported, citing unnamed government officials.
Hours before Yanukovych's statement, dozens of armed men stormed the Crimea regional Parliament and local government offices in Simferopol, barricading themselves inside and hoisting a Russian flag above the building, the Journal said.
Ukraine's acting interior minister, Arsen Avakov, said Ukraine's military and police were on alert.
In Kiev, Arseniy Yatsenyuk, whom Parliament confirmed as prime minister Thursday, said Yanukovych is "no longer president, but a wanted man suspected of mass murder and crimes against humanity," Interfax reported.
Tensions between pro-Russian and pro-European factions in Ukraine were most pronounced in the Crimea region, where Thursday, Crimea's lawmakers announced they were calling for a regionwide referendum on whether to push for further autonomy from Kiev.
"I'm concerned about developments in #Crimea. I urge #Russia not to take any action that can escalate tension or create misunderstanding," NATO Secretary-General Anders Fogh Rasmussen tweeted Thursday.
In Simferopol, it wasn't immediately known who was occupying the government buildings. The head of the region, Anatolii Mohyliov, told CNN the gunmen refused to speak with him, telling him he had no authority. The gunmen also haven't made any demands or articulated what they wanted, he said.
Mohyliov said no civilians were in the buildings and security forces would not use force or weapons to storm the buildings.
Ukrainian acting President Olexander Turchynov warned against any incursions into Ukrainian territory by Russian military forces, particularly troops stationed in Sevastopol, the Crimean port that is home to Russia's Black Sea fleet, and said such a breach would be considered an act of "aggression."
On Wednesday, Russia ordered surprise military exercises "to check combat readiness of armed forces in western and central military districts as well as several branches of the armed forces," Russian Defense Minister Sergey Shoigu said.
Russian Foreign Minister Sergei Lavrov said his country would defend its compatriots in Ukraine "uncompromisingly," the New York Times reported.
Yanukovych was deposed after signing a peace agreement with opposition leaders that, among other things, called for early elections and changes to the constitution. He has been hiding since then and was declared a wanted man Monday in the deaths of more than 80 people in clashes with police last week.
Russian news agencies reported he had already arrived in Russia, citing anonymous sources, but Kremlin officials -- including President Vladimir Putin's spokesman, Dmitri S. Peskov -- did not immediately confirm Yanukovych's presence in Russia, the Times reported.
In Kiev, Yatseniuk said about $70 billion had been withdrawn from Ukraine's financial system in the last three years, the KyevPost reported.
"About $70 billion has been withdrawn from Ukraine's financial system to offshore accounts over the last three years. Now it's clear that they withdrew the funds that were raised as loans under state guarantees and stolen by representatives of the previous government," he told lawmakers, warning tough austerity measures were in store for the nation with only $200 billion in gross national product.
"To go through these economic challenges, we have no other way but take unpopular decisions regarding subsidies, tariffs [and] social programs," Yatseniuk said. "The government has to take measures in order to reduce the state expenses."
Yatseniuk also confirmed Ukraine doesn't "have the money to pay off $12 billion in debts," KyevPost reported.
"The treasury is empty," the new prime minister said. "However, we have the opportunity to stabilize financial system. Ukraine has to start negotiations with the International Monetary Fund immediately."
Presidential and local elections are scheduled for May 25. Opposition leader and former boxing champion Vitali Klitschko of the UDAR party, has announced his candidacy for president.