MOSCOW—Russian news outlet Open Media said on Thursday it was shutting down after the communications watchdog blocked its website for most users and included it on a list of internet pages engaging in “extremist activity.” The news outlet, which was founded by Kremlin critic Mikhail Khodorkovsky, said on its Telegram channel that it had not been informed by the watchdog of a decision to ban the site. Instead, the outlet said it had received several letters on Wednesday asking it to remove content from its site that was against the law, without an indication of the content in question. “Together with our investor, we have decided to stop our work because the risks are too high for the project team members,” Open Media said in a statement. “Unfortunately, the authorities do not need media projects with a critical view on what is going on in the country. The more critical …