Head coach Yevgeny Bobariko told the agency that Pechnikova did not have symptoms and was taken to an isolation hotel, two days after another player, Polina Bolgareva, also tested positive.
Confusion over test results caused an hour's delay in ROC's game against Canada on Monday.
The Canadian team refused to take the ice at the preliminary game while they waited for the ROC's COVID-19 test results and later played wearing masks due to safety and security concerns.
The ROC removed their masks in the third period but the Canada players kept wearing theirs before winning 6-1.
Six members of the ROC women's team were placed in isolation a week ago after testing positive for COVID-19, and Bobariko told TASS that two – Olga Sosina and Ekaterina Nikolayeva – had been discharged from the hospital.
The ROC did not immediately respond to a request for comment.
An ROC practice session was expected to take place at Wukesong Sports Centre on Thursday but was listed as rescheduled on the Olympic non-competition agenda.
The team are due to face Switzerland in a quarter-final game on Saturday.