The Unamid force has so far not received any message from the abductors who also took the peacekeepers' vehicle, Mezni said.
Darfur has seen a wave of kidnappings of expatriates, including Unamid officials, in the past year, mostly by armed young men demanding ransom.
The last foreign hostage in Darfur, Gauthier Lefevre, an International Committee of the Red Cross (ICRC) worker was released last month after 147 days in captivity.
Law and order has collapsed in the remote western region since rebels took up arms against Sudan's government in 2003, accusing it of neglecting the territory.
Unamid reported the four peacekeepers had gone missing earlier this week, but at the time said it did not know what had happened to them.
Ibrahim Gambari, Unamid's chief, said in a statement read by Mezni on Monday: "There has been no sighting of our staff and we are deeply concerned for their well-being."