The Afghans who have gone missing with the Italian soldiers are thought to be working as an interpreter and a driver respectively.
The four individuals had travelled to Shindand district where the Taliban fighters are active, Ali Khan Husseinzada, criminal investigation police chief for western Afghanistan, said.
Yousuf Ahmadi, a Taliban spokesman, said he did not know anything about the missing men.
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.
"Then they drove in an unknown direction. Since then we've not heard of them," Husseinzada said.
"Right now we're searching for them. We're looking into where they might have gone or if they've been kidnapped," he said.
Rome came under criticism from Nato member countries earlier this year for allegedly entering into a deal with Taliban representatives to secure the release of Daniele Mastrogiacomo, an Italian journalist.
Mastrogiacomo was freed by Taliban fighters in March after being held for three weeks.
The Afghan government released five Taliban members from prison, but Mastrogiacomo’s interpreter and a driver were beheaded.
At least two other Italians have been captured in Afghanistan in recent years.
In October, Gabriele Torsello, a photojournalist, was abducted by fighters in the southern province of Helmand and held for three weeks.
Clementina Cantoni, an Italian aid worker, was captured in May 2005 by a criminal gang in Kabul and released after 24 days.