The five tourists were kidnapped just a day after a German family was released, in the Middle Eastern country where abduction of foreigners is rife.
"We have received a report of the kidnapping of five Italians ... in Sirwa in the region of Marib," a security official told AFP on the condition of anonymity.
The region is around 170 kilometres east of Yemeni capital Sanaa.
Al-Zayidi tribespeople stopped the vehicle the tourists were travelling in and abducted them, according to a local official quoted by Reuters.
The three females were reportedly released shortly after they were taken hostage and handed over to the local government in Marib, while the two men remained captive.
But the freed women refused to be released without their companions and demanded to rejoin the other two in captivity, a local government source said.
"After they (the three women) were handed over to the local government, they refused the initiative to release them and insisted to remain with the other two hostages," the source told AFP.
"They demanded to return (to the hideout) after arriving in the office of the local government," he added, saying that the trio had now rejoined their companions.
Negotiations are said to have been launched between tribal chiefs and local officials to secure the release of the remaining captives.
Troops have been deployed to the remote mountainous Marib province, said an official.
Italy's foreign ministry confirmed the kidnapping of Italian citizens in Yemen, saying it knows their identities but refused to give further details.
The ministry said there are about 100 Italians in Yemen, and it has for a long time warned against travel to tribal areas.
A later statement said the ministry could not confirm the release of the three women.
A tribal source told AFP that the captors belong to the al-Zayidi clan, which is part of the Jahem tribe, and they are demanding the release of eight members of their clan imprisoned for a tribal vendetta.
"The captors are demanding the release of the sons of Naji Abad Zayidi and his brother Saleh, who was extradited from the United Arab Emirates," the source, who belongs also to the Zayidi clan, said.
"They were arrested following the murder of a member of Al al-Qeiri clan in December 2004, as a result of dispute... over a car deal," he added.
As the murderer escaped justice, the Yemeni authorities arrested his eight relatives, he claimed.
He said that the captives were led along with their Yemeni driver to a rough mountainous area which belongs to the Jahem tribe.
A number of Italians have been captured in the past by tribesmen, and scores of tourists and foreigners working in Yemen have been kidnapped in recent years, often by disgruntled tribespeople demanding better services or for the release of jailed relatives.
German family released
A former German top diplomat and his family who were taken hostage by Yemeni tribesmen in the eastern province of Shabwa were freed on Saturday after security forces laid siege to the kidnappers' hideout.
Juergen Chrobog -- a former ambassador and foreign ministry number two -- and his wife and three sons were freed while their four captors arrested.
Yemeni President Ali Abdullah Saleh late on Sunday dismissed the governors of Marib and Shabwa, in a move apparently related to the recurring abductions in the tribal regions.
In December, two Austrian tourists were held hostage for three days also in the Marib region.
In November, two Swiss holidaymakers were briefly held by tribesmen in the same area.
While abductees have generally been released unharmed, three Britons and an Australian, Sydney man Andrew Colin Thirsk, 35, seized by Islamist militants were killed during a botched army attempt to free them from Islamist militants in December 1998.
Despite its proximity to oil-rich Saudi Arabia, Yemen is one of the world's poorest countries and more than 200 foreigners have been kidnapped in the past decade.