Liesl Tesch and physiotherapist Sarah Ross said they were bike riding in a park near their hotel at Flamengo Beach early on Sunday when they were confronted by two men, one of whom was carrying a pistol.
Tesch, who won a sailing gold at the London Paralympic Games and has also competed in wheelchair basketball, told Australian TV the armed man pointed the gun at her and then gave her a shove.
"I think he said 'dinero' (money)," she told Channel Nine, adding that she lifted up her shirt to showed she had no money with her.
"And then he said something else, but I don't know what he said, lifted the gun up towards me and then pushed me in the shoulder and I just fell down on the cobblestones."
Zela agrees with Kurt Fearnley - she's pretty tough, check out Liesl in this video:
The men took the bikes and rode off, she added.
"It was absolutely horrific, I can see it clear as day in my own head. We are both shaken, but physically we're both OK," said Tesch, who trained on her boat later that day.
Tesch and Ross reported the incident to local police, the Australian Paralympic Committee said.
Australia's Paralympic team chef de mission Kate McLoughlin said the sailing team were shaken by the incident and repeated a warning to athletes to exercise a high degree of caution while travelling in Rio.
“That advice is particularly important before the Paralympic Games period,” McLoughlin said.
“We know there will be a hugely elevated level of security in place during the Paralympic Games, but for athletes and teams travelling there before the Games, there is a heightened need to be security conscious.”
The September 7-18 Paralympics follow the Olympics, which open on Aug. 5.