The PET intelligence service and police "are analysing the video and cannot currently make any other comment about its authenticity," they said in a statement.
PET had earlier said that a video published online could show the murder of one of the women.
Louisa Vesterager Jespersen, a Danish woman of 24 and a 28-year-old Norwegian, Maren Ueland, were found dead on Monday in the High Atlas mountains where they had been camping.
Moroccan investigators say they have arrested four suspects in a probe into
Morocco's central judicial investigations office said it was looking into a possible "terrorist motive".
A man seen in the video is heard railing against the "enemies of Allah".