“These are not even symbolic sanctions, just a few people were asked not to travel to the European Union," said Polish MEP Witold Jan Waszczykowski.
The European Court of Human Rights had demanded that Russia free Navalny immediately, warning that failing to do so would mark a breach of the European human rights convention.
The protest, dubbed "Love is stronger than fear," was called by Navalny's allies for Valentine's Day in solidarity with people detained in recent opposition protests.
Moscow expelled three European diplomats last week for attending demonstrations in support in Alexei Navalny. The EU member states say their diplomats were observing the events.
What has dominated minds in Brussels this week?
Philippe Dam, from Human Rights Watch, on what EU foreign affairs chief Josep Borrell must tell Russia on his visit to Moscow this week.
Demonstrations took place across Russia in support of Kremlin critic Alexei Navalny despite a crackdown by authorities.
The opposition leader used his court appearance to tell the Russian government: “Yes, you have the power now to put me in handcuffs, but it's not going to last forever.”
The raids come after protests across Russia at the weekend demanding the release of Navalny.