Earlier, Serb officials indicated they had no objections to Milosevic's body being returned to Serbia for burial.
This comes as the United Nations war crimes court in The Hague officially closed the Milosevic's trial.
"The trial chamber has been advised of the death of the accused Slobodan Milosevic ... His death terminates these proceedings," presiding judge Patrick Robinson said at a short hearing.
"We express regret at his passing. We also regret his untimely passing has deprived not only him but indeed all the interested parties of a judgement upon the allegations in the indictment."
Milosevic had been on trial since February 2002, facing more than 60 charges of genocide, war crimes and crimes against humanity for his alleged key role in the Balkans conflict.
Barred from Serbia: son
"The authorities in Belgrade are not allowing this," Marko Milosevic said, referring to burial of his father.
"They want to avoid this event. They are threatening us officially and unofficially. We have no other choice" than to ask for a provisional burial in Moscow.
Milosevic's widow, former high school sweetheart Mirjana Markovic, now lives in Moscow and faces arrest on fraud charges if she returns to Serbia.
Marko Milosevic is now en route to the Netherlands to collect his father's body, and said he has requested permission to bury him in Moscow.
"Moscow Mayor Yury Luzhkov has agreed to this, as far as I know," Mr Milosevic said.
The remarks by the son of the late Serbian leader, found dead in his cell at the UN war crimes tribunal in The Hague on Saturday, were at odds with statements reported in Belgrade, which indicated that preparations are being made for Milosevic's burial.
The longtime legal advisor to the elder Milosevic, Zdenko Tomanovic, said the family had made a "final decision ... to have the funeral in Belgrade".
"The remaining question is whether it will be a state one."
But Serbian President Boris Tadic has already ruled out any prospect of a state funeral, saying it would be "completely inappropriate", given Milosevic's role in the bloody 1990s wars and his ouster in a popular uprising in 2000.