Alexei Navalny, 40, tweeted from the building: “Hello everyone from Tversky Court. The time will come when we will have them on trial (but honestly).”
He also said that PM Dmitry Medvedev should be summoned by the court as the chief organizer of the protests.
Alexei Navalny has yet to go before a judge but is likely to face charges relating to organizing banned protests and could be held for 15 days.
March 26 protests drew thousands of protesters nationwide, including in Saint Petersburg, Vladivostok, Novosibirsk, Tomsk and several other cities, as well as Moscow.
At least 500 protesters were detained. Most of the marches were organized without official permission.
TV footages showed demonstrators chanting “Down with [Russian President Vladimir] Putin!”, “Russia without Putin!” and “Putin is a thief!”.
Correspondents say the marches appear to be the biggest since anti-government demonstrations in 2011 and 2012.
An EU spokesman said the Russian police action had “prevented the exercise of basic freedoms of expression, association and peaceful assembly, which are fundamental rights enshrined in the Russian constitution”.
The statement added: “We call on the Russian authorities to abide fully by the international commitments it has made… and to release without delay the peaceful demonstrators that have been detained.”
State Department spokesman Mark Toner said in a statement: “The Russian people, like people everywhere, deserve a government that supports an open marketplace of ideas, transparent and accountable governance, equal treatment under the law, and the ability to exercise their rights without fear of retribution.”
Vladimir Putin has said he will do everything possible to bring to justice those who committed the “vile and cynical” murder of Russian opposition leader Boris Nemtsov.
In a telegram to Boris Nemtsov’s mother, published on the Kremlin’s website, the Russian president offered condolences and praised Nemtsov’s openness and honesty.
Boris Nemtsov, 55, was shot four times in the back on a bridge near the Kremlin.
Western leaders demanded a transparent investigation into the killing.
In the telegram to Boris Nemtsov’s 86-year-old mother, Dina Eydman, Vladimir Putin said: “We will do everything to ensure that the perpetrators of this vile and cynical crime and those who stand behind them are properly punished.”
He said: “Please accept my deepest condolences in connection with this irreparable loss. I sincerely share your sorrow.
“Boris Nemtsov has left his mark in the history of Russia, in its political and public life. He occupied significant posts in a difficult time of transition in this country. He always openly and honestly voiced and upheld his views.”
Expressing shock at the “cruel and cynical murder”, PM Dmitry Medvedev said Boris Nemtsov was a “principled person” who “acted openly, consistently and never betrayed his views”.
On February 28 there was a steady stream of people leaving flowers at the site of the killing.
Boris Nemtsov served as first deputy prime minister under President Boris Yeltsin in the 1990s but fell out of favor with Vladimir Putin and became an outspoken opponent, particularly on the Ukraine conflict.
During an interview on February 10, Boris Nemtsov had said he feared Vladimir Putin would have him killed because of his opposition to the war.
Boris Nemtsov died hours after appealing for support for a march on March 1 in Moscow against the conflict.
The march, due to be held in a Moscow suburb, has now been cancelled, and the organizers have been given permission to hold a mourning procession in the centre of the city.
According to the Russian state media, the march will begin on Kitaigorodsky Proezd at 15:00 local time and pass the site of the killing. Analysts say it is rare for state media to announce the time and place of opposition rallies.
Amid widespread global outrage, President Barack Obama condemned the killing as a “brutal murder”.
The Russian government must conduct a “prompt, impartial and transparent investigation”, Barack Obama urged.
“I admired Nemtsov’s courageous dedication to the struggle against corruption in Russia and appreciated his willingness to share his candid views with me when we met in Moscow in 2009,” the president said in a statement.
A statement from the office of German Chancellor Angela Merkel spoke of Boris Nemtsov’s “courage” for his frequent criticism of Russian government policy.
Angela Merkel “calls on President Vladimir Putin to ensure that the murder is cleared up and the perpetrators brought to justice”, her spokesman Steffen Seibert said.
UK PM David Cameron echoed the calls for an inquiry, saying he was “shocked and sickened” by the news.
Ukrainian President Petro Poroshenko described Boris Nemtsov as a friend of Ukraine.
He said: “Boris had declared he would provide clear evidence of Russian armed forces’ participation in [the war] in Ukraine. Somebody was afraid of this… They killed him.”
Amnesty International demanded a “prompt, impartial and effective” investigation into what it said was “a cold-blooded murder of one of those free voices whom the authorities have so actively sought to silence”.
Boris Nemtsov was shot at around 23:40 on Friday, February 27, while crossing Bolshoy Moskvoretsky Bridge accompanied by a woman, Russia’s interior ministry said.
He was shot with a pistol from a white car which fled the scene, police said.
Russian investigative committee head Vladimir Markin said in a statement that several motives for the killing were being considered including “Islamic extremism” and the victim’s alleged links with Ukraine.
“Mr. Nemtsov may have been sacrificed by those who do not shun anything to reach their political gains,” the statement said.
The statement also said that the attack was meticulously planned and the killers had been tracking Boris Nemtsov’s movements around Moscow.
President Vladimir Putin’s critic Alexei Navalny has been sentenced to 15 days in prison for handing out leaflets to publicize a forthcoming demonstration.
The Russian opposition leader’s imprisonment bars him from taking part in the planned rally on March 1.
Alexei Navalny was given a suspended sentence for defrauding two companies in December. He says the legal cases against him are motivated by his opposition to President Vladimir Putin.
He left the courthouse on February 19 in a police car and wearing handcuffs.
Alexei Navalny urged his followers to attend the rally against President Vladimir Putin’s policies.
The law he breached is one that restricts demonstrations.
“To ease the economic and political crisis we have to pressure the authorities. Let’s go to the anti-crisis rally,” Alexei Navalny said in a video posted on his Twitter account.
Correspondents say that although Alexei Navalny has little chance of posing a serious challenge to Vladimir Putin, he had pledged to lead 100,000 demonstrators in the march, which he says is against Kremlin policies that are leading Russia into a severe economic crisis.
Alexei Navalny led Moscow street protests against President Vladimir Putin between 2011 and 2012.
Last year Alexei Navalny and his brother Oleg were accused of stealing 30 million rubles ($462,000) from two companies.
Oleg Navalny was given a three-and-a-half-year jail sentence, while his brother was given a suspended sentence that prosecutors say they will appeal against.
Critics of the Kremlin and the US say that Alexei Navalny’s case is an attempt to stifle political dissent.
Since he was sentenced, Alexei Navalny has taken an increasingly defiant stance, cutting off his house arrest tag in January.