"I believe some of them have decided to return home and (Ukraine Olympic Committee president) Sergey Bubka has said he absolutely respects every individual's right to make their own decision," said IOC spokesman Mark Adams.
A Ukraine team official said Alpine skier Bogdana Matsotska and her father, who is also her coach, Oleg Matsotskyy, had pulled out. There was no information if additional Ukrainian athletes had opted to return home.
Adams said an athlete's departure was a matter for the Ukrainian team.
"I think his (Bubka's) view was that the team should stay but equally he respects every athletes' decision to do what they think is best in the circumstances," Adams said.
"From the National Olympic Committee themselves the best way to show solidarity ... is for the team to remain here."
He also said it was not the IOC who stopped the athletes from wearing black armbands on Wednesday but that it was decided within the team itself. Instead, Adams said, officials held a minute's silence.
At least 26 people have died in recent days as protests spread across Ukraine.
The country, which has won one bronze medal so far, sent 43 athletes to Russia's first Winter Olympics.
Image: Bogdana Matsotska
Photograph: Ezra Shaw/Getty Images
'Shocked' Ukraine Olympic chief Bubka urges end to violence
Winter Games: Hockey heartache for Russia, Norway lead medals tally
Let us focus on Asiad, CWG, says Former IOA President Malhotra
Gay is not OK in Sochi, transgender Italian held for second time in Sochi
India back in Olympic fold after IOC lifts ban