Actually, that's not what's depicted in the photograph. As seen here, Sephiroth is holding the Masamune during the Nibelheim photo, as opposed to having it somehow strapped to or otherwise located behind his back. As he is simply holding the blade in his hand, it's impossible to make any sort of real judgment based on that picture.
Again, whether it involves using a conventional sheath or just some simple sling (or even something else entirely), it's logical to assume that he would have had some way of carrying the blade beyond holding it.
