Sources close to Prime Minister Silvio Berlusconi cited by ANSA news agency also said on Thursday the information which was posted on an Islamist website should be treated with the utmost caution.
A group calling itself the Jihad Organisation said on a website not often used by Iraqi groups that it killed the women because Italy had not obeyed the demand to withdraw its forces from Iraq.
"We in the Jihad Organisation in Iraq announce that God's verdict has been passed on the two Italian prisoners by slaughtering, after the Italian government headed by the vile Prime Minister Silvio Berlusconi did not listen to our one condition to withdraw from Iraq," the statement said.
The aid organisation Bridge to Baghdad which employed the
two women said on its website that the report was "not very
credible" and it had serious doubts about its veracity.
The two Italian aid workers - Simona Pari and Simona Toretta - were the first Western women to be seized in Iraq.
They, and two Iraqi colleagues, were captured on 7 September from a charity office where they worked in the heart of Baghdad.
"We warn the Italian government that we will continue to strike and to strike every foreigner living in Iraq"
Statement by Jihad Organisation
"We warn the Italian government that we will continue to strike and to strike every foreigner living in Iraq," the statement added.
It was not possible to authenticate the message.
A group with a similar name, the Islamic Jihad Organisation, had earlier said on 12 September that it would kill the hostages in 24 hours if Italian troops did not leave Iraq.
"We will extend our deadline 24 hours from the issue of this statement, after that if we don't see Italian soldiers withdrawing from Iraq we will implement execution," its earlier statement had warned.