'Independent group'
An Afghan district official said five Taliban members were killed, but more senior officials would not confirm this.
Arturo Parisi, the Italian defence minister, said Italian soldiers led the operation, supported by British troops.
Asked who was responsible for the capture, the minister said it looked to involve "an independent group".
Ali Khan Husseinzada, a regional police chief, said the four individuals had travelled to Shindand district where the Taliban is active.
Intelligence reports said the four had driven from Herat city in two vehicles on Saturday and then left one of them in Shindand's Azizabad area.
Police sources said it appeared Taliban fighters had captured the men in Shindand and then taken them to the neighbouring Farah province.
Husseinzada said: "According to our intelligence information, a Taliban commander,  Mullah Abdul Hamid, had taken them."
However, Yousuf Ahmadi, the main Taliban spokesman, said he knew nothing about the men.
Two Afghans working for the soldiers had returned to Herat city late on Sunday.
The two Afghans had been due to be interviewed on Monday. They are thought to have been working as an interpreter and a driver for the soldiers.
Italy has about 2,000 soldiers in Afghanistan as part of Isaf.
Spanish deaths
In a separate development, two Spanish soldiers on patrol have been killed and at least two others seriously injured.
An Iranian interpreter who was travelling with the Spaniards also died.
The soldiers were in a vehicle targeted in an explosion near the town of Shewan.
In February, an attack on a Spanish military convoy killed a female soldier and wounded two other troops.
Spain has about 700 peacekeepers stationed in western Afghanistan.