MOSCOW (Reuters) - Russia's opposition leaders say they will press ahead with a campaign of public rallies against President Vladimir Putin despite a modest turnout at one weekend protest in Moscow.

About 2,000 people turned out on Saturday for a rally which did not have approval from city authorities and demanded an end to Putin's 13-year rule before riot police detained four opposition leaders.

"Mass action every two to three months is necessary," Sergei Udaltsov, a protest leader with a strong following among leftist opposition members, was quoted as saying by Interfax.

"I think that next time - towards the spring - very powerful preparation for action is needed."

Udaltsov was one of the four detained, alongside anti-corruption blogger Alexei Navalny and protest leaders Ilya Yashin and Ksenia Sobchak.

The rally took place in front of the headquarters of the Federal Security Service, known in Soviet times as the KGB, in sub zero temperatures despite the fear of arrest.

Protests began in December 2011 after Putin's United Russia party won a parliamentary election marred by allegations of vote-rigging. At their peak last winter the rallies attracted up to 100,000 people, witnesses said. Attendance has dwindled since Putin began a six-year third term as president in May and started what the opposition says is a clampdown on dissent.

"We are witnessing certain boredom, as people have hoped for a quick result," Yashin was quoted by Interfax as saying. "It is not a sprint, it is a marathon."

Navalny, under investigation for suspected fraud and money laundering, said that a lot of people turned out for Saturday's rally given the frigid weather and opposition by authorities.

"It was frosty, it was an unauthorized action - which practically guarantees arrests... but a lot of people came," Navalny was reported by Interfax as saying. Navalny has dismissed the accusations against him as "utter nonsense".

Another prominent protest leader, Gennady Gudkov, said he thought the next large action should be held in January-February, suggesting a rock concert in support of freedom, according to Interfax.

Opposition leaders were gathering on Sunday at a meeting of the Russian opposition's Coordinating Council, according to Interfax. The council was established in October tasked with trying to mount a structured challenge to Putin.

The council declared on Sunday that its main aim is to achieve political reform in Russia, Interfax reported.

(Reporting By Megan Davies; Editing by Stephen Powell)