MOSCOW—Police detained more than 3,000 people and used force to break up rallies across Russia on Saturday as tens of thousands of protesters ignored extreme cold and police warnings to demand the release of government critic Alexei Navalny. Navalny had called on his supporters to protest after being arrested last weekend as he returned to Russia from Germany for the first time since being poisoned with a nerve agent he says was slipped to him by state security agents in August. The authorities had warned people to stay away from Saturday’s demonstrations, saying they risked catching COVID-19 as well as prosecution and possible jail time for attending an unauthorised event. But protesters defied the ban and, in at least one case in temperatures below -50 Celsius (-58 Fahrenheit), turned out in force. Leonid Volkov, a Navalny ally, called on them to do the same next weekend to try to free …