The satellite channel aired a videotape on Tuesday showing the four Italians, with their passports, surrounded by armed men.
The group said on the video it would hold the Italians until their demands are met, including withdrawal of Italian troops from Iraq, the release of mosque Imams and an apology from Rome.
After the airing of the tape, Italy's Foreign Ministry said four Italians working for a security company had been missing since Monday.
The ministry said it had been contacted by the men's employer, a private American security company called DTS.
"DTS security informed the Farnesina (Italy's foreign ministry) that four of its Italian employees have been missing since yesterday," a spokesman said.
"The news was communicated to the ministry by the American company yesterday evening," he said.
One of the Italian hostages
shown in the tape
Meanwhile, Italian Prime Minister Silvio Berlusconi said on Tuesday the withdrawal of his country's 3000 strong military force in Iraq was "absolutely not in question".
He added his government would "do everything in its power" to obtain the release of the Italians.
French journalist kidnapped
Also on Tuesday, it was announced that a French journalist, Alexandre Jordanov, from the CAPA television station was kidnapped in Iraq.
Jordanov, 40, was kidnapped on Sunday 50kms south of Baghdad along with his cameraman Ivan Ceriex, who was later released, according to CAPA head Herve Chabalier.
An estimated 40 foreigners from the United States and 11 other countries in Europe and Asia are believed to have been kidnapped by resistance fighters in Iraq, the US-led occupation announced on Tuesday.
In other developments:
- Portuguese Prime Minister Jose Manuel Durao Barroso on Tuesday advised Portuguese civilians in Iraq to leave the country because of the growing number of foreigners being kidnapped there.
- France is strongly advising its citizens to leave Iraq and
warning people not to travel there
- Kremlin officials advised the several hundred Russian workers in Iraq to leave, while one contractor - Russia's biggest in Iraq - said they were pulling out.