On chain rule for fractional derivatives

For some types of fractional derivatives, the chain rule is suggested in the form Dxαf(g(x))=(Dg1f(g))g=g(x)Dxαg(x). We prove that performing of this chain rule for fractional derivative Dxα of order α means that this derivative is differential operator of the first order (α=1). By proving three statements, we demonstrate that the modified Riemann-Liouville fractional derivatives cannot be considered as derivatives of non-integer order if the suggested chain rule holds.