It said that three other Malaysians who were working at the gas plant were safe. The embassy in Algeria "is still determining the fate" of the other two, the foreign ministry said in a statement.
Al-Qaeda-linked gunmen stormed the gas plant in eastern Algeria on Wednesday. They have demanded an end to the French intervention in neighboring Mali, according to Mauritania's ANI news agency.
The number of foreigners held at the plant is unclear.
The kidnappers have said they are still holding seven at the site deep in the Sahara desert near the border with Libya. An Algerian security official put their number at 10.
An Algerian security official said a dramatic military assault during the week to rescue those held had left dead 12 hostages and 18 kidnappers dead.