Yevgeny Martynov said his client, Liana Askerova, was detained in central Moscow Wednesday.
"Liana Askerova is involved in the financial sector, but is not officially on the staff of any banking structure," he said.
Kozlov, 41, was gunned down in a contract-style killing September 13. As the Central Bank official in charge of licensing, he closed down many privately-owned banks in an effort to stamp out money laundering and other criminal practices in the sector.
A Moscow district court is to decide later on Friday whether Askerova should be held in custody pending investigations.
Her arrest comes one day after the detention of a bank executive suspected of ordering Kozlov's assassination. According to Russian news media, Alexei Frenkel was the head of VIP Bank, shut down by Kozlov over alleged money laundering three months before he was murdered. Lawyer Igor Trunov, however, has not confirmed his client's reported affiliation with VIP Bank.
Eight people have so far been detained in connection with Kozlov's murder, and some have reportedly confessed to having been hired to kill the high-profile banking regulator.
