Labor Party leader Natelashvili, who is facing espionage charges, handed a letter with the request to the U.S. Embassy in Georgia.
"I fear pressure can be used against my family," the letter says.
Labor Party representative Nestan Kirtadze said Natelashvili is currently in Georgia and continues his political activity.
On Wednesday, riot police with shields and batons broke up mass rallies which had run for six days in central Tbilisi. Opposition supporters were demanding President Mikheil Saakashvili's resignation and early parliamentary elections.
Saakashvili declared a nationwide state of emergency for 15 days.
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