In this paper, we describe entity linking annotation over nested named entities in the recently released Russian NEREL dataset for information extraction. The NEREL collection (Loukachevitch et al., 2021) is currently the largest Russian dataset annotated with entities and relations. The paper describes the main design principles behind NEREL's entity linking annotation, provides its statistics, and reports evaluation results for several entity linking baselines. To date, 38,152 entity mentions in 933 documents are linked to Wikidata. The NEREL dataset is publicly available: https://github.com/nerel-ds/NEREL.