"I want to officially warn Russia: we will respond firmly, including through military means, against any attempt to seize Ukraine, to cross borders, or annex eastern or other regions by Russian troops," Yatsenyuk was quoted yesterday as saying in Brussels on the government website.
Yatsenyuk also appealed to the West to "respond appropriately" as Moscow moves to attach Ukraine's Crimea Peninsula to the Russian Federation.
"Russia has violated international law and undermined the nuclear non-proliferation regime," the premier said.
"Russia has carried out an armed robbery against an independent neighbouring country."
Under a milestone agreement in 1994, Russia agreed to respect Ukraine's territorial integrity while Kiev renounced its Soviet-era nuclear arms.
"Everyone should understand that there is a price to pay for stability in the world," said Yatsenyuk.
"There are two means: either with victims (of a conflict) or with euros and dollars," he said in reference to economic sanctions.
"It is better to sacrifice euros and dollars than to cry over thousands of deaths in a bloody war.
"I hope that our European partners understand that. Afterwards it will be too late to use other types of sanctions," he added.
In an address to the German Parliament in Berlin, Chancellor Angela Merkel said the EU was readying further sanctions and that the G-8 forum of leading economies had been suspended indefinitely.
Russia holds the presidency of the G-8 and President Vladimir Putin was due to host his counterparts, including President Barack Obama, at a G-8 summit in Sochi in June.
"So long as there aren't the political circumstances, like now, for an important format like the G-8, then there is no G-8," Merkel said. "Neither the summit, nor the format."
The US and the EU have slapped sanctions on individuals involved in what they say was Crimea's unlawful referendum over joining Russia. Moscow formally annexed Crimea earlier this week in the wake of the poll.
The Black Sea peninsula had been part of Russia for centuries until 1954 when Soviet leader Nikita Khrushchev transferred it to Ukraine, and many residents were happy about rejoining Russia.
Russian forces effectively took control of Crimea some two weeks ago in the wake of the ouster of Ukraine's pro-Russia president, Viktor Yanukovych, after months of protests and sporadic violence.
The crisis erupted late last year after Yanukovych backed out of an association deal with the EU in favor of a promised USD 15 billion bailout from Russia. That angered Ukrainians from the country's pro-European central and western regions.
Merkel said EU leaders would increase those "level 2" sanctions against Russia when they meet later today in Brussels to widen the list of those whose assets are being frozen and who are banned from traveling.
She also reiterated that if things worsen, the EU is prepared to move to "level 3" measures, which would include economic sanctions.
"The European Council will make it clear today and tomorrow that with a further deterioration of the situation we are always prepared to take level 3 measures, and those will without a doubt include economic sanctions," she said.
Merkel's tough approach came as the commander of Ukraine's navy was freed after being held by Russian forces and local Crimean militia at the navy's headquarters in Crimea.
Rear Admiral Sergei Haiduk and an unspecified number of civilians were held for hours after the navy's headquarters in Sevastopol was stormed yesterday. Acting Ukrainian President Oleksandr Turchynov, who confirmed the release, said Russian forces were involved in the storming.
With thousands of Ukrainian soldiers and sailors trapped on military bases, surrounded by heavily armed Russian forces and pro-Russia militia, the Kiev government said it was drawing up plans to evacuate its outnumbered troops from Crimea back to the mainland and would seek UN support to turn the peninsula into a demilitarized zone.
Just how many retreating troops Ukraine will have to absorb in what amounts to a military surrender of Crimea was unclear. Many servicemen have already switched sides to Russia, but authorities said they were prepared to relocate as many as 25,000 soldiers and their families to the Ukrainian mainland.
At Belbek airbase in the wine-growing country near Crimea's southwestern coast, airmen were leaving today toting plastic shopping or garbage bags filled with their belongings.