There is some confusion in the SEO world in regards to whether or not nofollowed links need to be removed when dealing with an unnatural links penalty. Here is what John Mueller from Google says on the matter. The following is a Webmaster Central Office Hours hangout. John addresses nofollowed links at 30:46.
A user asks whether he needs to add nofollowed links to his disavow file. John says,
You don't need to include any nofollow links...because essentially what happens with links that you submit as a disavow, when we recrawl them we treat them similarly to other nofollowed links. Including a nofollow link there wouldn't be necessary.
There is no harm in including nofollowed links in your disavow file (provided it doesn't cause you to exceed the maximum size of file allowed for the tool.) Some would argue that nofollowed links could eventually turn into followed links if a site owner decides to change their site format, but really the chances of that happening are very small.
What if you are cleaning up your link profile in an attempt to recover from Penguin? The same thing applies. In this hangout, John Mueller explains that nofollowed links are not used by any algorithms including Penguin. Start watching at 5:16.
The question was, "Do many nofollow links cause an algorithmic penalty?". John's quick answer was, "No.".
He goes on to say,
At least from Google's point of view, if [the links] have a nofollow on these links then they aren't used for our algorithms.
Nofollowed links do not need to be addressed at all whether you are dealing with an unnatural links penalty or trying to escape or avoid an algorithmic problem like Penguin.