Anna Duritskaya’s lawyer told Russian media that she was anxious to go home temporarily to see her mother in Kiev.
“I don’t understand why I’m still on Russian territory,” she told Russia’s independent TV Rain (Dozhd).
Police were holding Anna Duritskaya for safety reasons. But her lawyer said the police “are acting correctly”.
The killing took place on Friday night, February 27, on Great Moskvoretsky Bridge, near the Kremlin wall.
Boris Nemtsov, 55, had just been dining at a restaurant with Anna Duritskaya.
They left together to walk to his flat, crossing the bridge, where a white car drew up and Boris Nemtsov was shot four times with a pistol at around 23:40. Anna Duritskaya was not injured.
According to website Vesti.ru, Anna Duritskaya phoned the police and her mother immediately after Boris Nemtsov was shot and fell.
Her mother said Anna “was holding his hand and then heard the bangs”.
“Boris slumped and fell. Anya was very frightened, she started calling the police and me immediately. She said on the phone: <<Mama, Boris has been killed! He’s been shot in the back, he’s fallen and now he’s lying beside me>>,” Anna Duritskaya’s mother was quoted as saying.
In her Dozhd TV interview, via Skype, Anna Duritskaya said the police “took a statement from me, they checked all my things, checked my phone calls, they took all the information”.
The Federal Protective Service (FSO), in charge of presidential security, said its surveillance cameras did not record the shooting because they were pointed towards the Kremlin.
Tens of thousands of people marched through central Moscow on Sunday, March 1, to honor Boris Nemtsov.
Boris Nemtsov had been due to lead an opposition march on March 1 but his killing turned the event into a mourning rally.
At the weekend police searched the offices of Boris Nemtsov in the northern city of Yaroslavl, Vesti reports.
They also questioned a local parliamentary aide of Boris Nemtsov, Mikhail Konev.
A witness statement from Anna Duritskaya, quoted by Vesti, described the gunman as wearing jeans and a sweater, about 5ft 7in tall, with an average build, and close-cropped dark hair.
Boris Nemtsov’s allies have accused the Kremlin of involvement, but President Vladimir Putin condemned the murder as “vile” and vowed to find the killers.
Russia’s Investigative Committee said it was looking into a number of possible motives for Boris Nemtsov’s murder.
They include his opposition to the Ukraine conflict, Islamic extremism – Boris Nemtsov had Jewish ancestry although he had become Orthodox Christian – and an opposition “sacrifice” of its leader to destabilize the state and undermine the president.
Presidential spokesman Dmitry Peskov said Vladimir Putin had noted “that this cruel murder has all the makings of a contract hit and is extremely provocative”.
The investigators offered a reward of 3 million rubles ($48,000) for information leading to the killers.
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