Two of the 30 dead, around half of them foreigners, have still not been identified, "one black person and one white," prosecutor Maiza Sereme told AFP.
She said French and US investigators were working with local police on the probe, as well as experts from Canada and police from Niger.
A video recovered in the four-star Hotel Splendid targeted in Friday's attack shows "four people communicating with the jihadists. We identified and found them. They are being interrogated," a security source told AFP on condition of anonymity.
Meanwhile Italy's Mario Giro, the under-secretary for foreign affairs, laid a wreath at the Cappuccino cafe near the Splendid hotel where a nine-year-old Italian boy was killed along with 25 other victims of the attack.
"There were many people killed, of many nationalities," Giro said. "We must not forget, so this never happens again."
"Burkina was hit because it's an example of democracy in this region and in Africa and because it's traditionally been a place where Christians and Muslims live together," Giro said.
The security source who spoke to AFP said the Niger nationals were pulled in for questioning "to check their identities and schedule."
Some 15 members of the MNLA were detained for questioning in different parts of Burkina Faso, "some then freed and others not."
Police were also reported to be making arrests in a refugee camp sheltering Malians in Mentao, near the town of Djibo, where an elderly Australian couple were kidnapped at the weekend.
