The incident occurred in the village of El Wak, just over two kilometers (1.2 miles) from the Somali border, the news agency said, citing the Italian Foreign Ministry.
The nuns, who are members of the Little Sisters of Jesus order, were carrying out humanitarian aid work in the village when they were kidnapped by armed men and taken over the border to Somalia.
El Wak, where the nuns had made their home, is 420 miles (675 kilometers) northeast of the Kenyan capital, Nairobi.
Foreign aid workers are often kidnapped by Somali gunmen, who usually treat their captives well.
Italian Foreign Minister Franco Frattini is "constantly monitoring the situation," the ministry said in a statement.
Somalia has been without a functioning government since 1991, and gangs of gunmen control much of its territory and coastlines.
