"Officers planted a dummy explosive device downtown to check how watchful people and law enforcement officers are," said Ilya Shakalov, head of the press service.
He said ambulances, rescue service officers, police and dog teams have arrived at the venue.
"The site has been cordoned off, there is a traffic jam on the street," the source said.
The exercise is being held to improve police interaction on spotting suspicious items in public places.
Russian security services said in January they had received a warning from foreign sources about a possible terrorist plot to attack ground transport and one of the country's metro systems. Security was reinforced on transport and near military and industrial facilities.
Although the reports were not substantiated, security officials said measures taken following the alert had helped reduce the terrorist threat in transport, and thanked passenger transport companies and passengers for their vigilance and assistance.
A deputy interior minister said Wednesday Russian law enforcement agencies had solved 86 of the 112 acts of terrorism registered across Russia in 2006.
