The group made the announcement in a statement posted on the Internet today. The statement said more details will be coming in the "coming days."
The statement, the authenticity of which could not be verified, said the event showed "the weakness of U.S. intelligence."
Pentagon spokesman Bryan Whitman said he could not confirm the group's allegation.
However, U.S. Army Major General William Caldwell said in Baghdad today that the U.S. military has intensified its search for the two missing soldiers.
"Over 8,000 U.S. military and Iraqi Army and police are working together, conducting and intensive [search] operation to determine the status of these soldiers," Caldwell told journalists. "We are using every means at our disposal."
Caldwell said the military has killed three suspected insurgents and detained 34 in fighting that left seven U.S. servicemen wounded during the search.