Russia has agreed to provide Viktor Yanukovych with protection following his ousting as president of Ukraine, report Russian news agencies.
"I still see myself as the legitimate head of the Ukrainian state," he was quoted as saying, but needed protection "from the actions of extremists".
Russian TV said he was in Russian territory but his precise whereabouts are unconfirmed.
Mr Yanukovych fled Kiev amid deadly clashes in the capital last week.
He said his overthrow was illegal as he had been "elected by Ukrainian citizens in a free vote".
On Saturday, Ukrainian MPs voted to oust Mr Yanukovych and hold early presidential elections in May.
But Mr Yanukovych said he believed the sessions currently taking place in the Ukrainian parliament were illegitimate.
He claimed the Ukrainian parliament was taking decisions while many MPs from his Party of Regions, and lawmakers from other factions, were absent because of threats to their safety.
"I think that the agreement on the settlement of the crisis in Ukraine, signed by me and leaders of the Ukrainian opposition in the presence of respected Western partners on 21 February 2014, has not been implemented," Mr Yanukovych was quoted as saying - referring to a deal to install a national unity government and call early polls agreed between Mr Yanukovych and opposition leaders after mediation by EU foreign ministers.
He said he would "fight to the end for the implementation of important compromise agreements to take Ukraine out of deep political crisis".
Mr Yanukovych warned that people in southern and eastern Ukraine would not accept a lawless situation where government ministers were approved by crowds in a city square, and he warned of possible armed conflict ahead.
He said he had asked Russia for protection following "threats of reprisals against me and my fellows" - and Russian media quoted official sources as saying Moscow had granted the request.
Ukraine has issued an international arrest warrant for Mr Yanukovych, the interim interior minister announced on Monday.
The BBC's diplomatic correspondent Bridget Kendall, in Moscow, says it should be noted that Mr Yanukovych's statement denouncing the legitimacy of the current interim leadership in Ukraine was not only relayed on Russian news agencies but broadcast over the airwaves on official Russian television.
She says Mr Yanukovych has been widely criticised by senior figures in the Russian political establishment, and the assumption had been that President Vladimir Putin would want to keep his distance from him - in contrast to this very public platform given to his cause.
His words come against a backdrop of growing tension over Ukraine's fate.
Russian fighter jets and troops are participating in exercises close to the Ukrainian border which Russia claims are routine.
Armed men, believed to be pro-Russian, have seized Crimea's regional parliament and the government headquarters of the Russian-majority region.
The US and Nato have warned Russia not to escalate tensions.