Several hundred protesters led by former Georgian leader
Police who surrounded the building used fire extinguishers against the demonstrators who attacked the October Palace during an afternoon performance by the Glenn Miller Orchestra.
A few made it into the building, but they did not disrupt the concert.
"Ukraine's ministry of internal affairs asks the protesters not to commit provocations, not seize the building and not to endanger the safety of children," ministry spokesman Artem Shevchenko wrote on Twitter.
Saakashvili, 49, who entered Ukrainian politics after serving as president of Georgia, was arrested last week in Kiev, accused of trying to stage a Russia-sponsored coup, but a court released him for the duration of the probe.
"You have to show them that you are brave, but very, very calm," Saakashvili told the crowd. "I will stand by you to the very end."
Saakashvili told journalists after the court hearing last week that he planned to continue his political activities with the goal of a transfer of power, accusing the Ukrainian authorities of corruption and "usurping power."
He is under investigation for alleged cooperation with Russia-linked "criminal groups" and has denounced his prosecution as an attempt to remove him from public activities.