Some 400 angry demonstrators, mostly in their 20s or 30s, stormed into a vegetable store in a shopping center in the district of Biryulyovo in search of the migrant, Xinhua reported citing local media.
Police said, in all, about 1,000 people were involved in the riot.
Yegor Shcherbakov, 25, was fatally stabbed Wednesday night by an alleged Caucasian or central Asian man, who fled the scene.
Local residents took to the streets Saturday and Sunday, demanding justice and accusing authorities of covering up the crime and tolerating illegal immigration in the area.
The demonstration went violent Sunday afternoon when a group of young men smashed windows in a shopping centre and set it on fire.
A YouTube video showed several men chanting nationalist slogans as they forced their way into the shopping centre.
After several people were detained, some aggressive demonstrators clashed with riot police and stormed the vegetable store where many migrants are employed.
Moscow Mayor Sergey Sobyanin ordered the setting up of an emergency response centre to handle the situation.
The Moscow department of the Russian interior ministry held an emergency meeting on the situation in Biryulyovo.
Russia's Public Chamber, the country's top consulting panel of national agencies and officials, also established a working group to monitor the situation.
Police said that they had contained the riot and that five officers were injured during clashes with demonstrators.
Meanwhile, the city of Moscow was also put on high alert following the riot.
Live footage from Russia-24 TV channel showed that the entrance to the Manezhnaya Square outside the Kremlin complex in downtown Moscow was closed and the square was cordoned off.
Police also blocked the main street in Biryulyovo and launched massive ID checks.
The Investigative Committee, Russia's top investigative agency, is looking into the case after Moscow Mayor Sobyanin ordered an investigation into the murder.
Foreigners in Moscow were advised against going to public places in the city.
The Council of Muftis of Russia has urged young people of all faiths to stop the violence.