Nemtsov, 55, was killed with several shots in the back and the head shortly before midnight on February 27 on a bridge just outside the Kremlin walls, according to the Federal Investigation Committee, Russia's top investigative unit which directly reports to president Vladimir Putin.
Mr Kadyrov late on Sunday appeared to throw his weight behind Mr Dadayev, calling him a "true patriot".
Mr Dadayev had been "one of the most fearless and courageous soldiers of the regiment," Mr Kadyrov wrote on his Instagram account. "If the court confirms his guilt, then, having killed a man, he committed a serious crime. But I want to mention again that he could not take one step against Russia, for whom he risked his own life for many years."
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The Chechen leader said he had asked his security council to look into why Mr Dadayev had been let go from the interior ministry's troops.
Mr Kadyrov also appeared to suggest that the Nemtsov murder could have been related to the opposition leader's criticism of the terrorist attack against Charlie Hebdo, the cartoon magazine, in Paris in January. "Anyone who knows Zaur will confirm that he is a deeply religious man and that he, like all Muslims, was shocked by the actions of Charlie [Hebdo] and comments in support of printing the cartoons," he wrote.
Immediately after the murder last week, the Federal Investigation Committee had named a potential link to Islamist terrorism as one direction of its probe.
In January, Nemtsov had criticised the attack against Charlie Hebdo, however without expressing support for the cartoons mocking Islam. He argued in a blog post that the attack was an example of "medieval" Islamic inquisition which people needed to stand up to. "Centuries will pass and Islam will grow up, and terrorism will be a thing of the past," he wrote. "But to sit and do nothing is not an option."
The rapid presentation of five suspects, all apparently from the restive North Caucasus region, and an alleged confession stirred a new wave of debate among government critics.