One protester is accused of interfering with an officer. They all could be charged with felonies.
The Picasso is the centerpiece for an Olympic rally set for nine o'clock Friday morning.
In a more peaceful protest, members of No Games Chicago rallied at City Hall on Tuesday evening.
They claim Chicago is not financially fit to host the Games because the city is $500 million in debt. They say the money would be better spent on schools, housing and the transportation system.
"We can't afford it. We need services for our citizens. We don't have the money to pay for low-income housing. Poor people have no place to go to take care of their health," said Dr. Laura Chamberlain.
The group also points out that Chicago taxpayers might have to pay for any cost overruns from the Games.