The Met said at about 02:00 BST on Saturday three people were arrested in Soho on suspicion of conspiracy to commit public nuisance.
Among items seized were a number of rape alarms, the force said.
The Met said it "received intelligence" people "were planning to use rape alarms to disrupt the procession".
Two women, 37 and 59, and a man, 47, were taken to a south London police station where they were questioned.
The man was further arrested on suspicion of handling stolen goods, the force said.
All three have been released on bail pending further inquiries.
Deputy Assistant Commissioner Ade Adelekan said: "We are aware of and understand there is public concern over these arrests. However, the matter is still under investigation.
"The intelligence we received led us to be extremely worried about the potential risk to public safety."
Aicha Less, cabinet member for communities and public protection at Westminster City Council, said: "We are deeply concerned by reports of our Night Stars volunteers being arrested overnight.
"This service has been a familiar and welcome sight in the West End for a long time and have extensive training so they can assist the most vulnerable on the streets late at night.
"We are working with the Metropolitan Police to establish exactly what happened, and in the meantime, we are in touch with our volunteers to ensure they are receiving the support they need."
A spokesperson for Sadiq Khan said: "Whilst an investigation into the incident is still ongoing, the mayor has urgently sought clarity around the circumstances which culminated in the arrest of three Westminster Night Watch volunteers on Friday evening.
"The Mayor remains in close contact with the Met's senior leadership."
Night Stars is a part of the central London council's night safety campaign.
According to the council's website, Night Stars volunteers are "focused on working with the West End's evening and night-time economy businesses to promote women's safety and reduce violence against women and girls".
It adds: "The team will provide wider support to anyone who becomes vulnerable due to intoxication to reduce the risk to their safety or prevent them from becoming victims of crime.
"The Night Safety volunteers aim to make London's nightlife safer for everyone."