Anatoly Bilashkov and Vassily Pokchov - the two agents given life sentences for killing former Chechen president Zelimkhan Yandarbiyev in February 2004 - were allowed to return to Russia last December in an apparent goodwill gesture aimed at easing diplomatic tensions between the two countries.
When they were sent back in December, Qatari news reports said they would serve out their life sentences in Russia.
But a top Russian Justice Ministry official on Wednesday said the two were not in prison.
"As of today we do not have them in our institutions," Yuri Kalinin, head of the Justice Ministry's penal department said. "I have no information about them."
Kalinin said that it was possible the men were undergoing medical treatment or that their status was in a procedural stage, but added that "the decisions of the Qatari court cannot serve as a ground for keeping them in custody in Russia".
The Qatari court said the killing was carried out with the backing of "Russian leadership" and coordinated between Moscow and the Russian embassy in Qatar.
The agents pleaded not guilty, and Russia denied involvement in Yandarbiyev's killing, saying the defendants were gathering intelligence about terrorism.
Yandarbiyev, Chechnya's acting president in 1996-1997, had lived in Qatar since 2000. Moscow had sought his extradition on charges of terrorism and links to al-Qaida.
The United States and the United Nations had also accused Yandarbiyev of having ties to militants.
The jailing of the agents strained relations between Russia and Qatar.