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Vitaly Milonov, a member of the ruling United Russia party in the St Petersburg assembly and the architect of a city law that bans gay "propaganda", accused the singer of breaking the law at the beginning of her show.
"We saw that in addition to music, songs and such, there were direct calls for 12-year-old citizens to support the LGBT (lesbian, gay, bisexual and transgender) community," Milonov said, adding that he would file a complaint to prosecutors over the singer's actions.
He had unsuccessfully called on authorities to bar people under 18 from attending Lady Gaga's show.
A vocal defender of lesbian and gay rights, Lady Gaga said offstage that her managers had received a call threatening her with arrest or a $50,000 fine if she spoke in support of the LGBT community, according to media reports.
The lower house of parliament is expected to consider legislation similar to the St Petersburg law later this month.
It is not clear whether it will pass. Prime Minister Dmitry Medvedev, now the head of United Russia, said in an interview last week that "not all human relationships are subject to legal regulation".
Lady Gaga took Medvedev's comments as a sign of support for her show and thanked him on her Twitter microblog.
"Thank You Prime Minister Medvedev for not standing by your party's anti gay propaganda law & instead supporting my show+fans all over Russia," she said in her tweet.
Lady Gaga has a concert in Moscow on Wednesday.
Last month, a St Petersburg court rejected a $10 million compensation claim against U.S. pop star Madonna initiated by Milonov and a group of anti-gay activists who accused her of hurting their feelings by promoting homosexuality at a concert in the city in August.
Madonna has called the city law a "ridiculous atrocity".
Homosexuality, punished with jail terms in the Soviet Union, was decriminalised in Russia in 1993, but much of the gay community remains underground as prejudice runs deep.