Photographs showed the alleged suspects being taken out of vans and transported into the building by security.
The terrorist group Islamic State (IS) took credit for the attack on Friday that killed at least 137 people, and it is believed that the men were employed by ISIS-K, one of its offshoots, per the Daily Mail.
At the scene of the massacre, which occurred at Crocus City Hall, officers reported finding more than 500 rounds of ammunition, 28 magazines, and four sets of combat ammunition. Two Kalashnikov assault rifles were also recovered.
Russian authorities said they arrested 11 suspects and released the names and photos of four suspects who are believed to be directly involved in the massacre, which is considered to be the deadliest terror attack in Russia in years, Fox News reports.
Four suspected terrorists were seen arriving in a white unmarked van at the concert hall around 8 pm in Krasnogorsk, which is just outside of Moscow.
Video footage shows that the gunmen moved toward the theater after first firing shots at those who were waiting in the foyer.
The roof collapsed as a result of the alleged ISIS terrorists setting the structure on fire after they opened fire on concertgoers.
On Saturday, the group claiming to be ISIS released footage of the attack from one of the gunman's body cams. The group published the clip along with the description "exclusive scenes...of the bloody attack on Christians yesterday in the city of Krasnogorsk in Moscow."
One of the gunmen can be heard in the video saying "Bring the machine gun. Kill them and have no mercy."
Then a second gunman ran into the concert hall, brandished what looked to be a yellow-and-black machine gun, and opened fire in all directions, video shows.
The gunman behind the camera can be heard in the video saying, "The infidels will be defeated, God willing. God is great. The infidels will be defeated. We went out for the sake of God and to seek His religion."
An additional video emerged on social media on Saturday which showed one of the alleged suspects, who has been arrested by Russian authorities, allegedly confessing to carrying out the attack.