A spokeswoman for Russia's Investigative Committee, Yulia Ivanova, told the state news agency RIA Novosti that the 11 other people in Vladimir Evdokimov's cell were being questioned.
Investigators found two stab wounds on Evdokimov's body, but no determination had been made of whether they were self-inflicted.
Evdokimov, 56, was the executive director for quality control at Roscosmos, the country's spaceflight and research agency.
He was jailed in December on charges of embezzling 200 million rubles (USD 3.1 million) from the MiG aerospace company.