The woman says the Pokemon disappeared when she jumped out of bed - but says the Pokemon GO app on her phone could still detect the same virtual character's presence on her bed.
She woke up her husband to tell her what had happened who told police officers that he did not believe her and told her to see a psychiatrist.
Russian news website Bloknot reports that the police did not believe her either and that the woman then went to see a psychic who was unable to help her.
Ivan Makarov, the woman's friend, said: "She says there are too many Pokemon at her place and even the dog can sense them. She says the dog barks whenever she plays Pokemon GO."
Mr Makarov said that his friend had eventually accepted her husband's advice, in desperation, and had booked an appointment with a psychiatrist.
Pokemon GO, a free-to-play, location-based augmented reality game for iOS and Android devices, has become a huge craze since it launched in July 2016.
Players use GPS to locate, capture, battle, and train virtual creatures, called Pokemon, who appear on screen as if they were in the same real-world location as the player.
*What if the woman is not lying?Most these games are Dangerous!