In a statement posted on Instagram on Sunday, the band said they were "surprised and disappointed" that the entire band was detained and questioned last Wednesday.
Several members had their hotel rooms searched and passports temporarily confiscated, the post said.
Singapore police did not immediately respond to questions from Reuters regarding the band's statement.
The trip-hop band has two members, Robert Del Naja and Grant Marshall, both British nationals, who unfurled the flag and held it up as audience cheered "Free Palestine!", a Reuters witness said.
Police said last Friday the band's actions "could potentially harm the racial and religious harmony in Singapore" and that two band members were issued with stern warnings and barred from re-entering Singapore. Police did not name the two band members.
The band did not say who among the members were detained and whose rooms were searched or passports confiscated.
The band were performing with a live backing band and guest vocalists, including Elizabeth Fraser of the Cocteau Twins.
"We did not imagine that merely holding up the flag of a sovereign state recognised by 157 countries (Palestine) would violate any law," the band's statement said.
"The surreal experience was a reminder of the importance of defending universal human rights and freedom of expression wherever those rights are threatened," the band said.
Singapore does not allow the public display of foreign national emblems without a permit or exemption, and the Palestinian flag is especially sensitive given the conflict in Gaza and Singapore's Muslim population.
Singapore has an ethnically and religiously diverse population of about 6.11 million, of whom around 15 per cent of the citizens and permanent residents are Muslim.
Massive Attack, formed in Bristol in the west of England in 1988, are known for their outspoken political stances, with videos during their concert highlighting conflicts in Iran, Sudan, Gaza and Ukraine.
