Hundreds of people have called the police - a pyramid is flying above the Red Square - and there seem to be lots of independent videos from cell phones etc. So I actually believe that something was there.
It's probably unrelated to the failed Russia missile recently seen above Norway. However, I think that while the kilometer-sized object surely looks impressive, it could actually be pretty cheap and ordinary.
For example, the mayor of Moscow recently decided to ban snowstorms above Moscow, by some rockets. This could be just a cloud of the sulphur compounds used for this job. It can be hollow, too. It may be rather easy to create clouds with this shape.
Alternatively, I could surely create it for you, too - by superposing two videos. That's what I did with the Spooksville photograph - and one could do it with each frame, too.
What do you think? See Google News, YouTube.