Moq and Autofac. Why are there problems when simulating a DbContext?

Question

Unit testing

I recently switched from Castle.Windsor to Autofac and had a problem with unit tests, namely when creating a mock DbContext.
Everything works fine here:

var set = new Mock<IDbSet<Company>>();
            set.Setup(c => c.GetEnumerator()).Returns(data.GetEnumerator());
            set.Setup(c => c.ElementType).Returns(data.ElementType);
            set.Setup(c => c.Expression).Returns(data.Expression);
            set.Setup(c => c.Provider).Returns(data.Provider);

            var context = new Mock<MyDbContext>();
            context.Setup(c => c.Companies).Returns(set.Object);

But as soon as I add a simulated Remove method, a NullReferenceException is thrown in the code, which is sort of like MyDbContext.Companies is null.

context.Setup(c => c.Companies.Remove(It.IsAny<Company>()))
                .Returns<Company>(c => _data.Remove(c) ? c : null);

I'm adding this right below the first listing.
What is it? Where to dig and how to solve? Am I using Moq incorrectly or something else? Because there were no such problems with Castle.Windsor.