U.S. politicians from New York to California are calling for public pensions to shed hundreds of millions of dollars in investments tied to Russia. So far, the retirement funds aren't moving quickly to divest. In many cases, they can't.

The funds have relatively small exposure to these assets, but unwinding them is complex and could mean losses, as they are trading at deep discounts and liquidity is scarce. Many of the largest retirement systems, which invest billions for teachers and other public servants, are adopting a patient approach.

"Considering that Russia amounts to about 2 percent of the global economy, whether a pension fund or other institutional investor would want to get out of an entire index fund in order to divest Russia holdings would be a questionable approach," said Keith Brainard, research director of the National Association of State Retirement Administrators.