Anton Atrashkin said the Krasnodar Opera and Ballet Theater had cancelled performances starring Volochkova scheduled for May and June.
Volochkova said the move was linked to her bid for the mayor of the city, which will host the 2014 Winter Olympics. The vote in the Black Sea resort was won overwhelmingly by a pro-Kremlin United Russia party candidate.
"The theater directors must be afraid of some consequences, but I do not know which," Volochkova told a news conference in Sochi.
Theater officials have not been available for comment.
Atrashkin said they learned about the decision from reporters, who began calling them for comments after an announcement by the theater director of Volochkova's "farewell" performance.
Volochkova, a former Bolshoi Theater dancer, was excluded, along with a host of other high-profile candidates, over "paperwork problems" in the run-up to the poll.
The campaign came under media spotlight as the new mayor is likely to have a major say in how billions of dollars in government funding for the Olympic Games are spent.
