Abdul Haq's brother (centre) attended the memorial
However, his family has now confirmed that he has been buried in his ancestral graveyard near the Afghan city of Jalalabad.
No reason has been given for the change of plans and the funeral arrangements.
Prayers were said at a memorial service on Sunday in Peshawar, where Haq's family have been living in exile.
Haq's brother, Haji Din Mohammad, told mourners: "We lost our brother, but our war will persevere."
Man on a mission
Haq, 43, one of the best-known guerrilla commanders who fought against the Soviet occupation of Afghanistan in the 1980s, is thought to have slipped back into the country from Pakistan with the aim of raising a rebellion against the Taleban.
Omar Samad, director of the Afghanistan Information Centre, told the BBC he thought Haq had been betrayed by someone linked to the Taleban before his departure from Pakistan.
An ethnic Pashtun like the Taleban, Haq had been critical of the current US bombing campaign against Afghanistan, saying it could damage his attempts to win over moderate elements within the Taleban.
Taleban forces said they captured Haq after surrounding his hiding place in the province of Logar, south of the capital Kabul.
American help
The US administration has confirmed they attempted to help the Afghan commander after his capture.
Defence Secretary Donald Rumsfeld said Haq did request and receive some assistance from the air, but it was not sufficient to save him.
"He had decided to come back in the country in a form and manner of his own choosing. He did request assistance and he did receive some assistance, the assistance unfortunately was from the air and he was on the ground and regrettably he was killed."
Mr Rumsfeld said that air assets did try to help by targeting troops at the location, but that the assets did not belong to the military.
This probably means it was an unmanned surveillance plane operated by the CIA, says the BBC's Washington correspondent Tom Carver.
These have recently been equipped with missiles which can be fired remotely.
Pakistan authorities, sympathetic to the Taleban, had expelled Haq earlier this year from Pakistan.
After the events of 11 September, the Americans arranged for him to return.
The Pakistanis say his mission was backed by the CIA, but this was denied by White House Chief of Staff Andrew Card.
"I don't think he was on a particular mission sponsored by the CIA, but he has been clearly working with our forces to try to rid the Afghanistan country of the Taleban government and we had hoped that he would be part of a leadership effort in a post-Taleban Afghanistan," Mr Card said.