The incident also adds to growing concerns about security in that part of the island after last year's bloody armed assault by Islamic guerillas from the southern Philippines.
The two women were taken at around 10:30 pm (1430 GMT) Wednesday from the Singamata Reef Resort in eastern Sabah state after it was raided by up to six gunmen, according to The Star newspaper.
The 40-year-old Filipino resort worker was not named and it is unclear how she was taken.
The paper said the women were discovered missing after the resort, which is built on stilts near the town of Semporna, ordered a roll call as police arrived minutes after the gunmen had fled.
Resort staff could not immediately be reached for further comment, while Sabah police chief Hamza Taib said he was on his way to Semporna and would have more details later.
It comes as relations between Malaysia and China are fraught over the search for Malaysia Airlines Flight MH370, which went missing last month with 239 people aboard, mostly Chinese.
The aircraft has yet to be found, and Chinese families have accused Malaysia of mishandling the tragedy.
The eastern part of Sabah -- whose pristine dive sites are a top tourist attraction -- has seen several kidnappings despite increased security.
More than 200 heavily armed followers of a self-proclaimed Philippine sultan landed in Sabah in February last year, claiming it for their leader.
In 2000, armed Philippine gunmen took 21 hostages at the internationally renowned scuba diving destination of Sipadan island, including 10 tourists from Europe and the Middle East.
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