Mikhail Kasyanov, who was President Vladimir Putin's first prime minister before joining the Russian opposition, told a media briefing at the European Parliament that Nemtsov was tolerant of all minorities and religions.
Russian investigators have said they were looking into the possibility that the former deputy prime minister was killed over his support for French satirical magazine Charlie Hebdo, which published images of the Prophet Mohammed and was attacked by jihadists in January.
"He never made any statements against the Muslim religion," Kayanov said during a visit to the French city of Strasbourg, where he met leading members of parliament.
Yet, he said, Russsian investigators now "developed the notion that Mr. Nemtsov was killed as a result of anti-Muslim, anti-religion statements."
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Kasyanov, who co-led the liberal opposition RPR-Parnas party with Nemtsov, said investigators already had to abandon earlier theories that foreign or Ukrainian secret services were behind the murder.
The Russian investigators' theory of a Muslim link appeared to gain ground after a suspect from Russia's Muslim North Caucasus region of Chechnya -- which held a massive rally against Charlie Hebdo in January -- was said to have confessed to his involvement in the assassination.
They, along with three other suspects, were remanded in custody.
French jihadist gunmen killed 12 people in the Paris offices of Charlie Hebdo in January.
Another friend and ally of Nemtsov, Ilya Yashin, told AFP that the Islamist motive theory for the Russian politician's murder was "absurd" and politically motivated.
Kasyanov said it was "clearly possible to have this (Nemtsov) murder" after Putin created a "hostile environment" by calling for the elimination of a "fifth column and national betrayers."