Pavlensky fled with his wife, Oksana Shalygin, and two children to France in January after he and his partner were accused of sexual assault.
He denies the allegation, which, according to Russian media, was made by a young Moscow actress at a theatre known for its politically-themed plays.
After being questioned by Russian police in December, the pair were told they had "more or less two possibilities: either go to a prison camp for 10 years ... or leave Russia", the artist told the AFP news agency.
They left the country the following day, travelling west through Belarus and Ukraine on their way to France.
Nailed scrotum and flaming door
As well as nailing his scrotum to the ground in the centre of the Russian capital, he 33-year-old artist has gained a reputation for challenging Russian restrictions on political freedoms.
He spent 18 months in pretrial detention after he doused a large wooden door at the Moscow headquarters of the Federal Security Service (FSB) security agency with gasoline and set it on fire in November 2015.
Pavlensky was fined 6,800 euros and released after being found guilty of damaging a cultural site.
He has won the Vaclav Havel award for creative dissent, which has previously given to Russian punk band Pussy Riot and Chinese dissident Ai Weiwei.