The Royal Navy patrol vessel HMS Mersey was monitoring the Russian frigate at the time the incident took place.
“We are investigating reports of an incident in the Channel,” said a Ministry of Defence spokesperson.
The frigate is believed to have fired the warning shots to prevent a possible collision after attempting to contact the British yacht.
The shots were treated as an isolated incident, unrelated to the boarding a Russian oil tanker by British forces on Sunday.
This story has been updated.
