The police in Russia's second city were not immediately available to comment on the incident, which took place shortly before the opening ceremony at the Sochi Winter Olympics.
President Vladimir Putin has been criticised abroad over a law he signed last year banning the spread of "gay propaganda" among minors but has said there will be no discrimination at the Games.
Supporters of All Out said the group had been rounded up by police soon after they started to protest.
Gay rights groups say the new law discriminates against gays and that it has fuelled attacks on homosexuals in Russia, but Putin says it is needed to protect young people.
(Reporting by Timothy Heritage; Editing by Ossian Shine)
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