The 25-member bloc said in a statement that it was "deeply concerned" that security forces used force to break up a demonstration that had been authorized by the city authorities.
The United States, the OSCE, and the Parliamentary Assembly of the Council of Europe have condemned the police action.
Azerbaijan's opposition says nearly 90 people were wounded during the unrest. Police say up to 20 of their officers were wounded.
The demonstrators were protesting the outcome of the disputed 6 November parliamentary election, which they say was fraudulent.
Official results give the ruling Yeni Azerbaycan (New Azerbaijan) party 56 seats in the 125-member parliament.