"The military should not be manipulated and divided by this crisis."
But the soldiers, who said they were defying orders to put down opposition protests, have denied they had staged a munity.
"This is not a mutiny," Colonel Noel Rakotonandrasana, a spokesman of the soldiers, told reporters.
"We cannot accept the repression of the civilian population," he said.
Rajoelina, who wants the president to step down, has been in hiding since Saturday, after security forces intensified a crackdown on his movement.
A UN official said on Monday he had been placed under UN protection.
"In line with efforts to resolve the Madagascan crisis, and preserve peace and stability, the United Nations decided to place Mr Rajoelina under its protection in a diplomatic residence," said Tiebile Drame, the UN envoy to Madagascar's political crisis.
But Yves Sorokabi, an associate UN spokesman in New York, said that Rajoelina was in the French Embassy, not under UN protection.
Madagascar has been in turmoil since the beginning of the year when Andry Rajoelina, the opposition leader, began protests against Marc Ravalomanana, the president.
"We no longer take orders from our hierarchy, we are following our hearts. We were trained to protect property and citizens, not to fire at people. We are with the people," one rebel soldier said.
The presidential guard was criticised last month for shooting dead 28 protesters marching on the presidential palace. Around 100 people have died in Madagascar's political unrest this year.
The opposition called for another anti-government demonstration on Monday in Antananarivo's May 13 square, and around 5,000 protestors marched peacefully in the centre of the capital.
Analysts say the stance of Madagascar's military, which has generally stayed neutral during previous political turmoil, will be pivotal to the final outcome of the power struggle.
"I think this is very serious," Lydie Boka, the chief Madagascar analyst at the French risk group StrategieCo, said about the mutiny.
"It may just be a small number out of 12,000 or 13,000 troops, but if it reaches the lower ranks it could spread very quickly."