A police spokeswoman said they did not have permission to hand out leaflets outside the Moscow event.
The head of the human rights group’s Moscow office, Sergei Nikitin, said U2 management had assured them all the necessary permits were in place.
The campaigners have since been released, police said.
News agency Agence France-Presse also reported that police forced volunteers from U2’s own charity fund, the ONE Campaign against AIDS, out of Moscow’s Luzhniki stadium.
Tents set up by Greenpeace Russia were also moved on according to the organisation’s director Ivan Blokov.
“We were not allowed to collect signatures and to talk to people,” he said.
“Our activities were agreed with U2’s management, so we are very much surprised.”
Mr Nikitin added that Amnesty had been present at many of the band’s concerts throughout their European tour.
“I don’t know if Bono knows about what happened to us,” he said.
“It was a typical publicity event, which this organisation has carried out in every city where U2 has performed.”
During the gig, Bono invited Russian rock star turned anti-Kremlin activist Yuri Shevchuk onstage for a rendition of Knockin’ on Heaven’s Door.
The Irish singer called his Russian counterpart a “great man”.
On Sunday, Mr Shevchuk appeared at a banned concert in central Moscow protesting against plans to build a motorway through a forest.
Meanwhile, U2 have been fined by Spanish authorities for playing too loudly at their gigs in Barcelona.
The group, who performed at the Nou Camp Stadium in June and July last year, have been told they must pay £14,723 for exceeding noise limits.
The fine was also imposed for rehearsal time running late and missing the midnight deadline.
The gigs were part of their 360 tour, which helped make them last year’s biggest-selling band in the world – BBC