The Massandra winery near Yalta is Ukrainian government property, but new managers took over after Russia's annexation of Crimea in March 2014.
Massandra began auctioning about 13,000 vintage wines on Tuesday, some dating back to 1935 and the Soviet war years.
The firm's website says foreign collectors have shown intense interest.
"Collectors worldwide were eagerly awaiting the sale and the winery's phone lines have been ringing non-stop," a Massandra statement said (in Russian).
Massandra says some of the "pearls" of Crimean wine are on sale, including madeira from Koktebel and Alushta, which is no longer produced.
A 1944 muscat produced just after the liberation of Yalta by Soviet troops is also on sale.
A spokesman for Ukraine's agriculture ministry, Olexander Liev, warned Massandra staff that they would be held "criminally responsible for the illegal sale of Ukrainian national heritage".
"We are sure that respected international and Russian collectors recognise that they risk having international sanctions applied to them for illegal economic activities," he said.
EU countries, the US and some other Western nations are boycotting trade with Crimea under international sanctions imposed on Russia when it seized the peninsula.
In March 2014 a majority voted to join Russia in a controversial Crimean referendum, held after Russian special forces and local militants had seized Ukrainian military installations.
In September this year Russian President Vladimir Putin and Italy's ex-Prime Minister Silvio Berlusconi toured the Massandra winery and allegedly drank a 240-year-old sherry there.
Ukrainian prosecutors accused the winery's new pro-Russian director Yanina Pavlenko of illegally uncorking a bottle of 1775 Jerez de la Frontera worth more than $90,000 (Â£58,000).
In the new Massandra statement, Ms Pavlenko said wines had been carefully selected for auction "in order not to undermine the value of the collection at all".
Massandra also plans to put wines on sale on the internet soon.
The Ukrainian government has condemned a Crimean auction of vintage wines as illegal and warned foreign buyers that international sanctions are in force.