A spokesman for the group, Qari Mohammad Yousuf, said the bodies of three Albanians and a German had been dumped "between Helmand and Kandahar".
The authorities have not confirmed the claim. A spokesman for the company which employed the four foreigners says they were all Albanian Muslims.
Four Afghans seized at gunpoint along with the foreigners have been freed.
There have been several incidents in recent months involving the kidnapping of foreigners in Afghanistan.
Some have been killed, including a Briton found dead last September, an Indian killed in November and a Nepalese man who died last month.
In other cases, other foreigners have been freed, reportedly after ransom money was paid.
'We heard firing'
The Taleban spokesman said the four foreigners had been shot dead.
"We will kill any one who is helping the Americans," he told the BBC.
One of the freed Afghans said they had been stopped by a group of 20 men dressed as police as they left Helmand for Kabul on Saturday morning.
"They tied our hands and feet and blindfolded us," the man, who did not wish to be named, told the BBC.
"They took the Albanians away from us to another location. We heard firing and the Albanians screaming. We couldn't see any thing because our eyes were closed."
Ecolog, the company the men worked for, is a German firm that treats dirty water at US and Afghan army bases.
Afghan Interior Ministry spokesman Yousaf Stanizai told the BBC the authorities were investigating the kidnapping. BBC