French radio reported on Friday that the pair were part of a group of more than 20 mainly Italian tourists captured deep in the desert near the border with Chad while travelling in a convoy of off-road vehicles. Most of the tourists were released on Tuesday.
A man who said he represented the Revolutionary Armed Forces of the Sahara (FARS) told French radio station RFI: "The two hostages are here, sitting beside us.
"We are very well armed. If the army dares attack us, we will kill the hostages and flee to the mountains."
The long dormant FARS fought an uprising with other nomadic groups in Niger's northern desert in the 1990s.
It signed a peace deal in 1997 but military sources in the West African country said it then transformed into a criminal group, smuggling stolen goods and arms along the border region with Libya.
Niger's army killed Chahai Barkay, the FARS leader, in a raid on their base in September 2001 but the group had kept a low profile since then and it was not immediately clear what their demands are.
The group's representative told RFI that the Italians had been kidnapped because Niger's government had not respected the peace accords and because the country's army had killed their leader.
Giovanni Davoli, an Italian diplomat in Niger's capital Niamey, said Niger's army was tracking the captors.
"What they [the security services] reported last is that they are well on the trace of the people who seized our citizens."
He said he had not had any contact with the captors but that one of the hostages had been able to telephone his wife.
"One of the Italians held by these people, he spoke to his wife to say he is fine, they are in good health, they are well-treated."
In Rome, the Italian foreign ministry declined to comment on the latest developments. In an earlier statement it said it was doing all it could to ensure the Italians' release.
The tourists were attacked between the oasis town of Bilma and the village of Agadem, on a particularly arduous 250km stretch of ancient camel-caravan route that weaves its way across dozens of dunes deep in the desert.