Reports say his driver was killed by the two attackers, who then fled.
Interfax, quoting sources close to the investigation, said the attack appeared to be an attempted contract killing.
The attack on Kozlov, 41, took place as he arrived at a sports stadium to watch a soccer match.
Under Kozlov's supervision, the Central Bank canceled the licenses of a large number of banks that were suspected of involvement in money laundering.
(compiled from agencies)
Russia's Democratic Development
Demonstrators speak with local politicians in Butovo about the destruction of a local forest in July 2006 (RFE/RL)
IS RUSSIAN DEMOCRACY MANAGING? Russian President Vladimir Putin has said Western powers seek to pressure Russia under the pretext of concern over its democratic development. He has said Russia is ready to listen to "well-intentioned criticism," but will not allow anyone to interfere in its internal affairs. The Kremlin has been criticized for stifling political oppostion, increasing central control over the media, and cracking down on the work on nongovernmental organizations.