Eldar Magatov, a suspect in attacks on Russian targets and alleged leader of an insurgent group in the Babyurt district of Dagestan, died in a shootout, the National Anti-Terror Committee said on Tuesday.
President Vladimir Putin has staked his political reputation on organizing a successful Olympics and tightened security nationwide after insurgents who hope to create an Islamist state in the North Caucasus threatened to attack the Games, which start on February 7.
In Sochi, which plans to host hundreds of thousands of visitors during the Games, security forces were searching for Ruzanna Ibragimovaya, 23, who may have arrived to the Olympic host city on January 11-12, a letter seen by Reuters said.
"(She) may be used as a terrorist-suicide bomber by (insurgency) leaders to organize terrorist acts during preparations for and during the 2014 Winter Olympics," read the letter, asking police to immediately look into the matter.
The letter from Russia's Federal Security Services to local police says she is the widow of a killed Islamist militant and is believed to have recently left her home in Dagestan, which lies nearly 600 kms (370 miles) from Sochi on the opposite end of Russia's predominantly Muslim North Caucasus region.
Photographs of Ibragimovaya show a woman in a hijab, wearing a long dress.
Dagestan has become the focal point of the insurgency, which is rooted in two separatist wars in neighboring Chechnya.
In a video published on Monday, two men said by an Islamist militant group to have carried out twin suicide bombings in the southern city of Volgograd last month warned Putin to expect more attacks if the Games go ahead in Sochi.
The attacks in Volgograd killed at least 34 people and raised security fears before the Olympics.