Images shot on Monday afternoon showed the two dolphins in the Giudecca Canal close to St. Mark's Square. Giudecca is one of the main canals running through the city.
Coastguard members and police boats carrying wildlife specialists were seen searching for the dolphins close to the basin by St. Mark's Square.
The region of Veneto around Venice has been a 'red zone' for a week along with most of Italy. The strict restrictions are due to be in place until April 6, after Easter.
The usually dark waters of the city's canals have become cleaner because of reduced boat traffic.