Pena, 36, was kidnapped on May 16 together with her Swedish husband, Roland Erik Larson, 68, at their farm in northern Colombia.
Larson is still missing.
The Revolutionary Armed Forces of Colombia (Farc), which uses ransom kidnappings to finance its five-decade-old rebellion, were initially suspected of the kidnappings.
But Sweden's ambassador in Bogota said she had received no confirmation about who was behind the abduction, and Leyva said the military was also looking at other illegal armed groups.
The Farc is believed to be holding hundreds of hostages, including three American military contractors and former presidential candidate Ingrid Betancourt, a dual French-Colombian citizen.
Those four are among some 60 high-profile hostages being used to negotiate the release of jailed rebels.