Cossack militia attacked the Pussy Riot punk group with whips and removed members' trademark ski masks in the Olympic host city on Wednesday.

The group had gathered in a downtown Sochi restaurant, about 30 kilometres from where the Winter Olympics are being held. They ran out of the restaurant wearing brightly coloured clothes and ski masks and were set upon by about a dozen Cossacks, who are used by police authorities to patrol the streets.

The group tried to start performing, but a Cossack smashed their guitar. The incident lasted less than five minutes and one Pussy Riot member, a man, was left with blood on his face, saying he was pushed to the ground.

Police arrived and questioned witnesses. No one was arrested.

Earlier, the International Olympic Committee said it would be "wholly inappropriate" for the Russian punk group to protest at Sochi Olympic sites.

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Masked members of protest band Pussy Riot leave a police station after they were detained on Tuesday in connection with a theft in the Winter Olympics host city of Sochi, less than two months after their release from prison under an amnesty. (Shamil Zhumatov/Reuters)

International Olympic Committee spokesman Mark Adams said Wednesday that "venues are not the places to have demonstrations."

Two Pussy Riot members were detained by police Tuesday near the Sochi ferry terminal and later released. The two women have called for a boycott of the Sochi Games and gained worldwide attention for protesting the policies of Russian President Vladimir Putin.

Adams said the detention did not appear to be linked to the Olympics.

The detention of the Pussy Riot members as well as a gay rights activist and environmental activists in recent days has brought political tensions to the fore at the Olympics.