Student Ana Zhmaeva was convinced she had just seen a mid-air plane crash when she began to record the incident in the air over the western city of St Petersburg.
Ms Zhmaeva immediately reported the unexplained incident to police but they have since been unable to locate any crashed objects and no plane collisions were reported at the time.
The footage, which is now with the authorities, appears to show two objects collide with a bright flash before one of them plunges to the ground and fragments seen scattering in the cloud.
Ms Zhmaeva said: "When I started filming the UFOs [Unidentified Flying Objects] disappeared like they had exploded or crashed into each other."
The mystery incident sparked heated debate online with Russian news website NevNov suggesting the "UFOs" could actually have been planes that crashed after getting into difficulties, with an air show reported to have been held in the area that day.
However traffic controllers denied there had been any issues and one of the organisers of the event said: "There were no incidents in the air show."
Police also confirmed that they had no official report of any incident but added that they had seen the video.
A police spokesman said: "We are carrying out further research into this case to find out what really happened."