Russian President Vladimir Putin has marginalised and intimidated his political opponents, jailing some and driving others into exile, since mass anti-Putin protests swept Moscow in 2011 and 2012.
Nemtsov, 55, was among the few prominent opposition figures who had refused to be cowed.
The mourners today marched to the bridge near the Kremlin where Nemtsov was gunned down shortly before midnight Friday. The mood was somber, with a heavy police presence.
"Essentially it is an act of terror. It is a political murder aimed at frightening the population, or the part of the population that supported Nemtsov and did not agree with the government," Yashin told The Associated Press.
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"I hope we won't get scared, that we will continue what Boris was doing."
The march could energise the opposition, but it could also prove to be a brief expression of emotions that dissipates in a climate of fear.
Russia's federal investigative agency said it was looking into several possible motives for Nemtsov's killing.
This suggestion echoed comments by Putin's spokesman and other Russian politicians that the attack was a "provocation" against the state.
The consensus of political commentators on state television was that the killing served the interests of Russia's enemies.
Yashin, however, said Russia's leadership and specifically Putin bore full political responsibility for Nemtsov's death.
"It was President Putin who created this atmosphere of hate in our country, the atmosphere of intolerance, which one way or another materialised in the bullet that killed my friend Boris Nemtsov," Yashin said.
He was killed just hours after a radio interview in which he denounced Putin's "mad, aggressive and deadly policy of war against Ukraine."
Nemtsov was working on a report presenting evidence that he believed proved that Russian servicemen were fighting with the separatists in Ukraine, despite official denials.