Interfax quoted a source as saying that the suspects have confessed to stealing the artefacts, worth about $5 million, over a period of six years.
They are alleged to have colluded with a curator at the museum who died suddenly during an audit of the museum's collections, the agency said on Saturday.
"Two people suspected of stealing exhibits from the state Hermitage collections were detained overnight," Interfax quoted the source as saying.
Officials investigating the theft could not be reached for comment.
Investigators recovered one of the missing items in a rubbish bin this week after an anonymous phone tip-off.
The icon of the Church of the All Saints had been left in a bin near police office in St Petersburg.
The thefts came to light only when curators carried out their first comprehensive inventory of the museum for decades. Questions have also been asked about the level of security at the museum.
The Hermitage is home to a massive collection of sculpture, paintings and historic artefacts that was started by Empress Catherine the Great in 1764.
It houses several Renaissance paintings, including Raphael's Madonna with Child and two works by Leonardo da Vinci.
Museum staff have asked dealers and collectors to help them recover the missing items - mainly silver and enamel pieces from the Middle Ages and 19th Century.
On Friday an antiques dealer in Moscow handed over to authorities a gold- and silver-plated chalice that had come from the Hermitage.