According to one source, that story was a rumor perpetuated by Prince George Lvov. Lvov claimed that he and Nagorny were imprisoned in Ekaterinburg together, and that Nagorny himself told the story of protesting the theft of a gold cross belonging to Aleksei. However, Lvov is apparently not a credible witness. He informed President Wilson in a letter that he had been imprisoned in Ekaterinburg at the end of February 1918, then escaped after five weeks and fled across Siberia, arriving in Vladivostock in July. That makes it *impossible* for Lvov to have been in the Ekaterinburg City Prison on May 27 -- the *only* night Nagorny spent there. Nagorny and Ivan Sednev were then shot on May 31, eliminating any further possiblity of communicating with Lvov.
Lvov told a number of wildly false tales about the Romanovs' captivity, often contradicting himself in the process --
That source's theory is that Nagorny and Sednev were removed from the Ipatiev house simply because they were young able-bodied men that "represented a threat to the power of the Special Detatchment." With Sednev and Nagorny gone, they had only the women, 4 middle-aged men, and two young boys to guard.