how did you compiled nginx, with openssl-sources via --with-openssl=/path/to/sources ?
i could imagine that, if not, your (outdated) distros openssl-dev might be used.

i have this issue when compiling nginx on debian; i have to download openssl and
point nginx where to find the sources

but since openssl recognizes openssl 1.0.1e ... this seems fishy somehow, as if you
are potentially capable of PFS, but are not able to deliver, for whatever reason.

all i did for makepw.com was:

./configure ... --with-http_spdy_module --with-http_ssl_module --with-openssl=/path/to/openssl_source/ ...

then i configured the cipher-suites according to recomendations from ivan ristic.