Police said they intend to charge the band, known for its provocative lyrics targeting Prime Minister Vladimir Putin, with hooliganism, which could lead to prison sentences of up to seven years.
The band's attorney, Nikolai Polozov, believes the charges won't hold up.
"Judging by the video I have seen, it is impossible to qualify what they did as hooliganism," he told Gazeta.ru on Monday.
The band is aware that the case has been opened but have not yet been summoned by police, he said.
The controversy began when members of the band performed for five minutes in the famous cathedral and were removed from the stage while performing a song called "Holy Sh--".
The band shot to fame when they staged a similar performance on Red Square with a song ridiculing Putin.
In an interview with Gazeta.ru on Monday, the band — whose members keep their identities a secret — said they have so far managed to avoid detention through having "fast legs and deft hands."