But they are not on the list of seriously injured people, the embassy said.
Brussels transport authority, La Stib, confirmed that at least 20 people died in the blast at the metro station and over 100 were injured.
The country's health minister said 14 had been killed in the earlier attacks at the city’s international airport, and over 80 injured.
The Isis extremist group has reportedly claimed responsibility for the attacks.
As security was heightened at Italy’s airports and other potential targets, the Foreign Ministry urged Italians in Brussels to “avoid going anywhere at the moment”.
A national security meeting, presided over by Prime Minister Matteo Renzi, took place on Tuesday afternoon.
Renzi said after the meeting that the attacks “came from within”.
“It is time to say without mincing our words: the attackers came from within the places that were hit – the threat is global but the killers were also local killers,” he was quoted by Ansa as saying.
Meanwhile, Rome Commissioner and interim mayor, Francesco Paolo Tronca, has announced that a memorial ceremony will be held for the victims of the attacks at Piazza di Campidoglio at 6.55pm.
Palazzo Senatorio, Rome’s city hall, and the Trevi Fountain will also be lit up in the colours of the Belgian flag between 7pm and 11pm.