Foreign Minister Ivica Dacic said the convoy was carrying Serbia's ambassador to Libya in a separate car during the incident in the city about 100 kilometres (62 miles) from the main border crossing between Libya and Tunisia.
"Some shots were fired, one Libyan citizen was wounded in a leg, according to first reports," Dacic told the national RTS broadcaster.
"We have no information about who the kidnappers are. Nobody has contacted us to demand anything. We are following the situation," he said, adding that a crisis committee had been set up.
A ministry statement identified the abducted pair as Sladjana Stankovic, in charge of communications, and Jovica Stepic, a driver.
Sabratha is considered a bastion for extremists in lawless Libya, which has become a magnet for radical militants who receive weapons training in jihadist camps before launching deadly attacks in other countries.
A commander in the Sabratha Military Council, which is in charge of its security and loyal to a militia alliance which controls Tripoli, told AFP that "all security branches are on full alert in the city since the Serbians were abducted".
"We think that they are still in Sabratha anyway."
Libya descended into chaos after the October 2011 ouster and killing of longtime dictator Moamer Kadhafi, with two governments vying for power and armed groups battling to control its vast energy resources.
A militia alliance including Islamists overran Tripoli in August 2014, establishing a rival government and parliament that forced the internationally recognised administration to flee to the country's remote east.
Belgrade maintains an embassy in Tripoli and Serbian citizens, mostly doctors and other medical staff as well as construction workers, have been working in Libya for decades due to close bilateral relations during Kadhafi's regime.
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