I found this to be strange: in Wikipedia,
Russia at the 2008 Summer Olympics
Russia competed at the 2008 Summer Olympics
How different is the meaning if at is changed to in?
"I was at the venues of the 2008 Olympics" can be shortened to "I was at the 2008 Olympics".
"I participated in the events of the 2008 Olympics" can be shorted to "I was in the 2008 Olympics".
In your example, both are fine, especially seeing as the context clearly describes that Russia were at the venues participating.
My friend, Philippe, a championship fencer, is at the London 2012 Summer Olympics.
However, he is attending as a spectator, and is therefore not in the London 2012 Summer Olympics.
SUPPLEMENT: While both at and in may be correct when the referenced person/entity was present and competed, they are not interchangable when both did not occur. I think it is tautological that anyone in the Olympics must be at the Olympics (since you can't phone it in), but the obverse is not so.
In your example there is no substantial difference if at is substituted by in. However at conveys ambiguity when not used with a nation since, for example, a spectator can also be at but not in.