"I believe some of them have decided to return home and (Ukraine Olympic Committee president) Sergey Bubka has said he absolutely respects every individual's right to make their own decision," said IOC spokesman Mark Adams.
A Ukraine team official said Alpine skier Bogdana Matsotska and her father, who is also her coach, Oleg Matsotskyy, had pulled out. There was no information on whether they were actually departing the Black Sea resort, or if additional Ukrainian athletes had opted to pull out.
Ukraine team officials and some athletes held a minute's silence in memory of the victims and black ribbons were added to Ukraine flags hanging on the balconies of their building in the athletes' village.
Adams said the athlete's departure was a matter for the Ukrainian team.
"I think his (Bubka's) view was that the team should stay but equally he respects every athletes' decision to do what they think is best in the circumstances," Adams said.
"I know that the National Olympic Committee themselves think that the best way to show some solidarity, and show in a small way what sport can do to help in reconciliation, is for the team to remain here."
He also said it was not the IOC who stopped the athletes from wearing black armbands on Wednesday but that it was decided within the team itself.
"They weren't forbidden to wear armbands," Adams said. "The Ukrainian NOC met with IOC officials informally yesterday. They discussed what should be done, and they reached the conclusion there were other ways of marking this moment.
"Some athletes have taken other views and other ways of doing things," Adams said.
At least 43 people have died in recent days and hundreds were injured as anti-government protests and clashes with security forces spread across Ukraine.
The country, which has won one bronze medal so far, sent 43 athletes to Russia's first Winter Olympics.
(Reporting by Karolos Grohmann, editing by Mitch Phillips/Peter Rutherford)
