Technically, the artists were not allowed to work in Russia on their tourist visas, but experts say it appears the visa warning is a veiled attempt punish the pop stars for their vocal support of gay rights in Russia.
The investigation into their visas came at the urging of a lawmaker who has spearheaded Russia's anti-gay campaign.
"The Russian government is sending a shot across the bow to Lady Gaga, Madonna, and other performers who are taking up gay rights in Russia," said Paul Saunders, the executive director of the Center for the National Interest.
During concerts in St. Petersburg last year, both Lady Gaga and Madonna denounced the city's harsh anti-gay law from the stage.
"Tonight, this is my house Russia. You can be gay in my house," Lady Gaga said during her performance in December.
A few months earlier, Madonna made similar comments during her concert.
"Gay people here and all around the world have the same rights," she said.
Those comments have landed the pop stars in hot water in Russia. The two have been accused of spreading what the law calls "gay propaganda" under St. Petersburg's anti-gay law.
The law makes it illegal to even speak about homosexuality around minors. The measure has been popular in Russia, a country where homosexuals are often the target of violence. It has been so popular, in fact, the law was adopted nationally in June. Violators, including foreigners, face fines, deportation, and even jail.
In the United States, the law has sparked calls for a boycott of Russian products like vodka. Some have even called for a boycott on next year's Winter Olympics, which will be held in the Russian city of Sochi.
Amid the outrage, Russia announced on Friday it will suspend the law for athletes and fans during the games.
Russia hasn't announced any plans to prosecute the pop stars, but if convicted they could face steep fines or even be banned from entering the country.
So far there has been no response yet from either Lady Gaga or Madonna.