The singer, who recently performed in the Russian captial, admitted that the venue was a "scary" place.
"I did a show in Moscow, which was really crazy," she told Bang Showbiz.
"We played in this massive palace, and they searched us - we weren't allowed to take anything in with us. It was pretty scary, I thought we were going to be kidnapped!"
The 18-year-old also revealed that she committed a faux pas during her performance.
She continued: "It was a private show and inside there was an American artist belly dancing and there was blue caviar on all the tables.
"And so during 'Sweet About Me' I went up to one of the waiters, and to see if he wanted to sing along with me and everyone at the show was looking at me, horrified, like that's a big no-no - and he was really scared too."
Cilmi recently joked that she would like to perform in space.