The animal moved over the heads of sunbathers on the Sea of Azov in the Cossack village of Golubitskaya in the Krasnodar region as it was pulled by a speedboat, AFP reports.
Regional police spokeswoman Larisa Tuchkova said: "The donkey screamed and children cried. No-one had the brains to call police."
The stunt was reportedly carried out by entrepreneurs hoping to attract holidaymakers to a nearby beach for parasailing.
Konstantin Sabinin, projects director at animal rights group Vita, said: "The sadists have shown their know-how. It's an extremely despicable event."
The donkey's owner later left the village, taking the animal with him. Another police spokesperson Denis Yegrov said: "We are now looking for him. I wonder how the guys [the onlookers] did not knock his teeth out."