It is not clear what she was doing there or when she was taken there. Venezuela has close ties to Russia.
Rodríguez spoke earlier on Saturday on state-controlled Venezuelan television about the US attack, but did so by phone.
In the statement, she demanded, among other things, that the United States provide signs of life from President Nicolás Maduro and his wife, following last night's attack and capture.
Moscow denied on Saturday that Delcy Rodríguez was in Russia and called the reports false, AFP reported.
The vice president's brother, Jorge Rodríguez, who is the speaker of the country's parliament, is still in the capital Caracas, according to three sources who spoke to Reuters. He has not yet been seen or heard from since last night's attack.
