The arrest follows reignited tensions after the weekend murder of 10 members of an amateur Colombian football team in Venezuela, an incident the government promised to investigate.
Chavez said officials believe the agents were using fake names and were purportedly helping investigate the killings, adding that a lone survivor was assisting in the investigation.
Colombia's security agency DAS issued a statement denying it had sent its personnel into Venezuela to spy or to destabilise the government.
"Agents are expressly prohibited from crossing into that country's territory," it said.
|The recent killings of the 10 footballers have exacerbated tensions [AFP]
Maria Luisa Chiape, the Colombian ambassador to Venezuela, said she had no information about DAS agents working in Venezuelan territory.
"I will not be provoked. I think it is important not to lose sight of the central point that is the fact 10 people, including eight Colombians, were killed in a massacre," she added.
Chavez's government said the incident was part of the prolonged civil conflict within Colombia and has blamed the killings on Colombian ELN rebels, the country's second largest guerrilla group.
Alvaro Uribe, the Colombian president, has attributed the murders to terrorism and has requested the Venezuelan government help protect the border population.
Jaime Bermudez, the Colombian foreign minister, has called for an investigation into the murders.
"The entire world is confident that Venezuela will conduct a responsible, prompt, and transparent investigation," he told reporters in Bogota.
Earlier this year Chavez suspended diplomatic ties and reduced trade over Colombia's plan to allow US troops to use seven of its bases.