Alexander Bortnikov made the statement on state television. He said the two suspects were from Russia's North Caucasus region, but no other details were given.
It was not clear if either of the suspects was believed to have fired the shots that killed Nemtsov as he walked over a bridge with a companion near the Kremlin on February 28.
Nemtsov's killing shocked Russia's already beleaguered and marginalised opposition supporters.
Suspicion in the opposition is high that the killing was ordered by the Kremlin in retaliation for Nemtsov's adamant criticism of President Vladimir Putin. The 55-year-old was reportedly working on a report about Russian military involvement in the eastern Ukraine conflict.
It also said it was looking into possible connections to Islamic extremism and Nemtsov's personal life.