The culture ministry withdrew permission for British director Armando Iannucci's film, which satirizes the death of the dictator, on Tuesday after Russian officials labeled it offensive and "extremist."
But Moscow cinema Pioneer, named after the Soviet youth organization, decided to go ahead with its screenings of the film.
Reports of the cinema's planned defiance led the culture ministry on Thursday to warn movie houses they will bear "legal responsibility" for showing the film.
On Friday, six policemen accompanied by a group of men in civilian clothing went to the cinema following a matinee screening of the film, and at one point held an administrator and other cinema employees behind closed doors.
Asked by an AFP reporter why they were there, the policemen repeatedly refused to give an answer. "We just wanted to go to the cinema at lunch," one said.