Few details are known but authorities in Kenya say the pair were arrested while crossing the border into Somalia.
South Wales Police are liaising with family and also Kenya officials to get more details about why the pair have been detained since Sunday.
A Kenyan police spokesman said they are under investigation by the anti-terrorism unit of the Kenyan police.
The two people are UK citizens, although police say one is of Somali descent and the other Pakistani.
Charles Owino, deputy spokesman for the Kenyan police, said: “They were arrested crossing into Somalia.
“They are under investigation by the anti-terrorism unit of the Kenyan police.”
A South Wales Police statement said: “South Wales Police are currently in liaison with the Kenyan authorities in respect of two British nationals who have been detained near to the border with Somalia.
“The identities of these persons have yet to be formally confirmed, both are believed to be from the Cardiff area. The families of these persons have been notified.
“These persons are being detained under Kenyan law and the force is liaising with local law enforcement to establish the circumstances of their detention.
“South Wales Police is also in contact with the Foreign and Commonwealth Office and the British Embassy in Nairobi.”
AbductionsA Foreign Office spokesman said: “We are aware of reports of two British nationals detained in Kenya on October 16 and we are seeking normal consular access.”
The arrests came against a background of an air and ground assault by Kenya into Somalia at the weekend.
Somali militant group al-Shabab has warned Kenya to withdraw its troops from Somalia, or face bloody battles.
Al-Shabab spokesman Ali Mohamud Rage told the BBC Somali service that his fighters would attack Nairobi.
Kenya had responsed to several recent cross-border abductions it blames on al-Shabab.
Witnesses said hundreds of al-Shabab fighters were making their way towards areas where Kenyan forces had gathered.
Kenyan troops crossed the border at the weekend, supported by helicopters and jet fighters.