The incident was believed to be connected with the arrest of former Bosnian Serb military commander Ratko Mladic in Serbia earlier on Thursday.
The 69-year-old Mladic is wanted by the International Criminal Tribunal for the former Yugoslavia in The Hague on charges of genocide and other war crimes committed by forces under his command against Bosnian Muslims and Croats in Bosnia's 1992-1995 war.
According to the media, the embassy confirmed the incident.
The Russian Foreign Ministry issued a statement on Friday saying it expected that Mladic would have a fair and unbiased trial.