Nigeria manager Stephen Keshi told reporters: "We are not part of this, we do not have interests in this. We are here to play football and that's it.
"If they want to investigate it whenever they want, that's their problem. We don't know anything about this stuff."
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Tom Webb, 22, died after receiving a single stab wound to the chest on January 19 this year.
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The 36-year-old has not been seen or heard from since Thursday evening.