I have gotten this to work on stock 5.0 and stock 5.0.2 Nexus 6 with ATT.
Pre-req is you must be at least rooted. All work is done at your own risk, as modifying your system files can really muck your device up if done incorrectly.
1) Using a file explorer, navigate to /system/
2) backup build.prop
3) edit the build.prop file with a text editor
4) Add the following line to the bottom of build.prop file: net.tethering.noprovisioning=true
5) Save the file and reboot the phone