"I know nothing about these people," Prokhorov said.
He noted that the names of the detainees were very common in the Russian southern republics, so it was hard to make assumptions even about their nationality.
"What the North Caucasus Islamists could have had against Nemtsov, I also do not understand. Of course, all versions should be tested, but they must be based on evidence," lawyer pointed out.
Boris Nemtsov was fatally shot on February 27, while crossing a bridge next to the Kremlin with Anna Duritskaya, a Ukrainian model who returned to Ukraine after questioning.
Shortly after Nemtsov was killed, Russian President Vladimir Putin ordered the Russian Investigative Committee, the Interior Ministry and the Russian Federal Security Service to set up a joint investigative team to solve the murder.
Investigators have been pursuing several motives behind Nemtsov's murder, including possible links to the Ukrainian crisis, contract killing or business-related disputes.
In 1991, Boris Nemtsov was appointed the governor of the Nizhny Novgorod Region. He was also a former deputy prime minister in the Russian government under President Boris Yeltsin. At one point he was considered a likely presidential candidate. Nemtsov co-chaired the RPR-PARNAS (Republican Party of Russia – People's Freedom Party) since 2012 and was also one of the leaders of the liberal Solidarnost movement. Since September 2013 and until his death, Nemtsov served as a member of the Yaroslavl Region's parliament.