The Red-Greens followed up last week's 3-2 comeback win in the French Riviera with a 1-0 triumph in Thursday evening's second leg at the Lokomotiv Stadium.
Igor Denisov found a way through on the half-hour mark for the only goal of the night, ensuring that the Russians remain on course for their best ever European campaign.
Lokomotiv, with two Cup Winners' Cup semi-final appearances to their name in the late 90s, did well to control possession in the early stages as the temperature dropped to -12°C.
That was the hosts' first serious attacking move, though it was they who would celebrate the only goal of the second leg three minutes later once Denisov rattled in his first European goal since 2010 from just inside the box.
Romain Perraud and Balotelli both came close before the interval as Nice, now without a win in six matches, attempted to drag themselves back into the tie with an away goal.
The Red-Greens should have killed off the contest before the hour when, from a three-on-three situation, Alexei Miranchuk took the wrong option and had his shot saved.
Further efforts followed from Saint-Maximin and Balotelli, neither of which looked likely to beat Guilherme, and it was then Lokomotiv's turn to squander chances.
Anton Miranchuk was not far off finding the back of the net, though, with his shot pinging off the post to just about keep the Eaglets in the tie.
Despite enjoying close to three-quarters of possession there would be no way through, however, meaning a place in the last 16 for the Russian club.
LOKOMOTIV MOSCOW (4-3-3): Guilherme; Ignatyev, Pejcinovic, Kvirkvelia, Rybus; Anton Miranchuk, Denisov; Farfan (Kolomeytsev 24'), Fernandes, Aleksei Miranchuk (Tarasov 84), Ari (Eder 64')
NICE (4-3-3): Benitez; Burner, Dante, M.Sarr, Perraud; Lees-Melou, Cyprien, Seri (Sacko 84'); Saint-Maximin (Tameze 79), Balotelli, Plea (Makengo 79')