Police said in an email to CTV News the warrant is under the Provincial Offences Act.
Sky confirmed the news on his Telegram account, saying he is avoiding Winnipeg, where he was scheduled to appear at an anti-restriction rally on Friday, and is instead in Saskatoon for a different rally.
Police also said one person has been arrested for repeated violations of public health orders.
"There are 5 outstanding warrants yet to be executed in this regard," said police in an email.
Under Manitoba's current public health orders, all gatherings with people from outside of your household are not allowed.
Winnipeg Mayor Brian Bowman, speaking at a news conference on Friday, urged Winnipeggers to not attend a scheduled rally at The Forks Friday evening, or any other rallies to break the public health orders.
"Go home, it's that simple," he said. "Don't go to events like this that are intended to violate the province's public health orders. There are consequences." Currently, people can be fined $1,296 for violating public health orders, and can also be fined $298 for not wearing a mask in public.
Bowman said he is disappointed the province did not come out with stronger fines for people violating public health orders. Bowman has advocated for the province to double the fines and has also pushed for a fine of $100,000 for those organizing events to violate public health orders.
He added attending these events not only puts your health at risk but shows, "a tremendous amount of disrespect to Winnipeggers and Manitobans who are following the rules."