"Your brothers in the military wing of al-Qaida Organisation in Iraq have captured the two Moroccans working at the Moroccan government's embassy in Baghdad. Their interrogation is continuing," said the statement, without giving further details.
The statement on Tuesday could not be authenticated, but it was signed by al-Qaida's spokesman in Iraq and posted on a main website used by groups opposed to the Iraqi government and the presence of US-led forces in Iraq.
Morocco's Foreign Ministry earlier said driver Abd al-Rahim Bualaam and assistant Abd al-Karim al-Muhafzi, both working at the chancellery in Baghdad, went missing on Thursday after returning by road in an embassy car from a brief trip to Jordan.
Earlier this year, two Algerian diplomats working in Baghdad were killed by al-Qaida in Iraq.
Such attacks and abductions have driven diplomats from the Iraqi capital, undermining the US-backed government's efforts to gain support among Arab countries.
Al-Yaburi al-Muhafzi, a brother of the captured al-Muhafzi, made an appeal on Aljazeera for those responsible to return him to his family.
Aljazeera learned that two Iraqis were also captured at the same time, but later freed.
On Wednesday, four bodies were found in northeastern Haditha, 220km northwest of Baghdad, a doctor said.
Three of them were wearing army uniforms and the other was a contractor working with US companies.
Four bodies were found bound,
gagged and with shotgun wounds
The doctor, Saad al-Hadithi, said that the corpses were bound, gagged and had shotgun wounds to the head and chest.
In Baghdad, police said armed assailants killed an official at Iraq's Ministry of Culture, Nabil Musawi, and seriously wounded his driver in southern Baghdad.
Also in the capital, assailants opened fire on a convoy of bodyguards for Iraq's minister of water resources in western Baghdad, wounding two people.
Police said that the minister, Abdul Latif Rasheed, was not present.