Boris Nemtsov, opposition politician and fierce critic of Russian President Vladimir Putin, who was shot dead in Moscow by unknown assailants was "a bit more than an average citizen", says the Kremlin.

Clarifying that Putin's government did not face any "threat" from the slain former deputy prime minister, Russian officials said his murder will be investigated.

Putin's press secretary Dmitry Peskov said: "With all due respect to the memory of Boris Nemtsov, in political terms he did not pose any threat to the current Russian leadership or Vladimir Putin. If we compare popularity levels, Putin's and the government's ratings and so on, in general Boris Nemtsov was just a little bit more than an average citizen."

Nemtsov died after he was shot multiple times in central Moscow just near the Kremlin. He was walking along the Bolshoy Moskvoretsky Bridge when gunmen opened fire.

Moscow's Investigative Committee has initiated a criminal case into the murder as Nemtsov's supporters allege his killing was "politically motivated".

"Boris received anonymous threats on social media from time to time, but he did not pay attention. Boris was afraid, he was saying that he was under threat, but he always believed that no matter what security he had, if [somebody] wanted to kill him, they would," said Nemtsov's colleague and opposition leader Ilya Yashin.

"He had no personal foes linked to his private life."

Senior figures from all sides of the political spectrum have condemned the killing. A gathering has also been organised in Yaroslavl city, where Nemtsov served as the regional parliament's deputy prime minister, to mourn his death.