Members of Russian protest punk band Pussy Riot were attacked in Sochi by Cossack militia armed with horsewhips.

The scuffles came a day after band members Nadezhda Tolokonnikova and Maria Alyokhina were detained by police in the Russian Black Sea resort for several hours in connection with a theft case.

The latest fracas over their stay in Sochi came as the International Olympic Committee (IOC) warned the women that it would be "wholly inappropriate" to stage actions outside Winter Olympic venues.

The clash took place as Tolokonnikova, Alyokhina and one other Pussy Riot member sought to stage an action in the centre of Sochi, about 30 kilometres north of the main Olympic Park.

They donned the coloured balaclavas and tights that are their group's trademark but were immediately surrounded by uniformed security personnel who appeared to be Cossacks.

The women were whipped repeatedly with horsewhips and roughly handled, video footage showed.

Maria Alyokhina uploaded photographs on her Twitter account of what she said were bruises on her chest. ( Twitter: Maria Alyokhina )

At one point Tolokonnikova was thrown to the ground and her coat thrown on top of her.

Several uniformed Cossacks, acting as security guards in Sochi, pulled the women's ski-masks off them, punched them repeatedly and whipped them.

Tolokonnikova herself wrote on her Twitter feed @tolokno that they had been attempting to stage a new performance entitled "Putin will teach you to love the motherland".

Alyokhina posted pictures on her Twitter feed of her chest, showing severe bruising after the clashes.

"My back hurts from the beatings on my body there are bruises and marks from the whips," Tolokonnikova said.

"Putin will teach you to love the motherland," she added ironically.

The women went to Sochi hospitals for medical treatment and Alyokhina later posted a picture of Tolokonnikova in the hospital bed next to her.

Tolokonnikova said her husband Pyotr Verzilov has suffered in particular due to the use of an unidentified spray.

Alexander Tkachev, the governor of the Krasnodar region, which includes Sochi, said the incident had to be investigated, even if the views of Pussy Riot do not reflect the majority.

"All the guilty in what took place should be punished," Mr Tkachev said.

The IOC distanced itself from the controversy over the arrest on Tuesday (local time), which rights groups described as a public relations disaster that cast a new shadow over the Games.

Members of the band wore coloured balaclavas and tights as they tried to stage an action in the centre of Sochi but were surrounded by uniformed security personnel. ( Reuters: Shamil Zhumatov )

ABC/AFP