Kozlov, 41, who oversaw bank licensing and led the Central Bank's efforts to close down dozens of banks for violations of banking legislation, particularly on money laundering, died September 14 after being shot the day before.
"During an investigation of the criminal case on the murder of the first deputy chairman of the Russian Central Bank, Andrei Kozlov, people [suspected of] involvement in organizing and perpetrating this crime were identified," the prosecutor's office said on its Web site.
Prosecutors also said the office and the Interior Ministry are investigating how secret information related to the murder investigation leaked to media. Some media reported Monday, referring to the Prosecutor General's Office, that suspects in the Kozlov murder had been detained.
"The Prosecutor General's Office and Russia's Interior Ministry have organized official checks to establish the sources who leaked information on operational tactics, which, in line with current law, are referred to as state secrets," the office said.
Prosecutor General Yury Chaika, who took the investigation under his personal control, earlier said that Kozlov's professional activity was the probable reason for his assassination.
A Moscow court has sanctioned the arrest of three suspects in the murder case, a spokeswoman said.