The Interior Ministry did not name the complainants but Sotheby's earlier identified them as the Nosenko family, which Russian media said had purchased the painting in the 1940s.
The 1870 painting had been listed by Sotheby's with an estimated value of 1.5-2 million pounds ($2-$3 million), as part of a collection of Russian pictures due to be sold in London.
The Sotheby's website cited the provenance of the work as the collection of one N.I. Dedov.
Sotheby's kept the identity of the seller confidential but said the individual had acquired the painting in good faith in 2000.
(Reporting by Katya Golubkova, additional reporting by Jason Bush, editing by Elizabeth Piper and Ralph Boulton)