"We are told on TV that a conspiracy by the West and those among us who have sold out to them are behind our poverty. People should throw away the TV set and go to protest," said Olga, 42, who declined to give her last name.
Some Muscovites have accepted the official line and appear to agree that the opposition, struggling to make an impact after a clampdown on dissent in Putin's third spell as president, might have killed one of their own.
"The authorities definitely do not benefit from this. Everybody had long forgotten about this man, Nemtsov ... It is definitely a 'provocation'," said one Moscow resident, who gave his name only as Denis.
Some young people walking in central Moscow asked: "Who is Nemtsov anyway?"
Nemtsov, who was 55, was one of the leading lights of a divided opposition struggling to revive its fortunes, three years after mass rallies against Putin failed to prevent him returning to the presidency after four years as prime minister.
With an athletic build and characteristic mop of curly hair, Nemtsov had been a face of the opposition for years, along with anti-corruption blogger Alexei Navalny and former prime minister Mikhail Kasyanov, though no one figure has succeeded in uniting the ranks of opposition-minded Muscovites.
The opposition has little support outside big cities and Putin has now been Russia's dominant leader since 2000, when ailing President Boris Yeltsin chose him as his successor, a role Nemtsov had once been destined to play.
Even many of Putin's opponents have little doubt that he will win another six years in power at the next election, due in 2018, despite a financial crisis aggravated by Western economic sanctions over the Ukraine crisis and a fall in oil prices.
Many opposition leaders have been jailed on what they say are trumped-up charges, or have fled the country.
Nemtsov, a fighter against corruption who said he feared Putin may want him dead, had hoped to start the opposition's revival with a march he had been planning for Sunday against Putin's economic policies and Russia's role in east Ukraine.
The Kremlin denies sending arms or troops to Ukraine.
In a change of plan, the opposition said Moscow city authorities had allowed a march of up to 50,000 people alongside the River Moskva to commemorate Nemtsov's death.
Ukrainian President Petro Poroshenko said Nemtsov had told him about two weeks ago that he planned to publish evidence of Russian involvement in Ukraine's separatist conflict.