The number of dead was not immediately clear, although an oil industry source said that 5 of the 15 soldiers protecting the convoy were killed.
Sagir Musa, an army spokesman, confirmed that soldiers were killed but said he did not know the exact number.
He said: "About 17 militants attacked our soldiers. The militants came in several boats. They succeeded in sinking two of our boats with soldiers inside."
Musa said that several injured soldiers had been taken to Port Harcourt, the state capital.
The convoy was supplying oilfields operated by Royal Dutch Shell. A Shell source said that it was unlikely the attack would have any impact on oil output because it occurred in a river far from any facilities.
A self-styled Joint Revolutionary Council, which says it represents three armed groups, claimed responsibility for the attack and demanded the release of Mujahid Dokubo-Asari, a jailed leader of the group.
The council said in an email to journalists: "The purpose of this celebration of ability and capability was to prove to the armed forces of the Nigerian state that we can take them on anywhere, anytime and anyhow."
However, a spokesman for the Movement for the Emancipation of the Niger Delta (MEND), one of the three groups the council said it represented, told Reuters that it had nothing to do with the attack.
A sixth of Nigeria's oil production capacity has been shut down since February following a wave of attacks by MEND.
The situation in the world's eighth biggest exporter of crude has contributed to several spikes in world oil prices.
The Niger Delta was relatively quiet in September after a spate of kidnappings in August. A total of 18 oil workers were abducted that month in eight separate incidents. One of the hostages was shot dead by troops in a botched attempt to release him, while all the others have been freed.
Most inhabitants of the Niger Delta, which is almost the size of England, have seen few benefits from five decades of oil extraction that has damaged their environment.