Riot police were brought in to control a mixture of right-wing and religious activists, who picketed the club and shouted insults at people leaving it.
For two nights in a row, Russia's gay and lesbian clubs have been targeted.
A leading gay rights activist said the rallies were the result of homophobic remarks by the city government and religious leaders.
'Damaging to Russia'
Most of the 39 arrested were charged with minor public order offences.
The demonstrators were an unlikely alliance of young men, from a Russian nationalist group, and Orthodox Christians, many of them elderly women.
On Monday night, a crowd of about 100 of them tried to prevent people entering Moscow's best-known gay club.
The right-wing activists shouted homophobic abuse, while the Christian groups, waving crosses and icons, chanted "God is with us".
They smashed windows on two cars and earlier eggs, fruit and plastic bottles had been thrown at people leaving another club.
The groups say homosexuality is a sin and is damaging Russia.
Russia's gay community is planning its first ever public gay pride march for later this month.
Moscow's mayor has said he will ban the march because he believes homosexuality is not natural and because the event would cause outrage in society.
Nikolai Alekseyev, one of Russia's most high profile gay rights campaigners, blamed the mayor's comments for inspiring fanatics and nationalists and for provoking them to violence.
By Damian Grammaticas |