Error: Could not stat() command file ‘/var/lib/nagios3/rw/nagios.cmd’!

This problem is because of wrong permissions and to fix it we need first to put user www-data in nagios group in /etc/group
After that we need to change the permisions :

chmod g+x /var/lib/nagios3/rw

Done, now restart the nagios process and everything will be ok 🙂