Abdulrace Yuso, 25, and Hassan Panawa, 22, were arrested in Yala for allegedly threatening local businesses not to open on Fridays.
Mr Abdulrace confessed that he had told a petrol station owner in Yaha district to stop serving customers on Fridays or there would be "grave consequences".
Mr Hassan claimed that he was merely asking a grocery shop worker in Muang district if it was open on Fridays and did not think it would be a serious incident. He said he did not understand why he was being detained. He claimed he was under the influence of kratom leaves and medication when he made the threat and did not mean any harm, officers said.
Both men were escorted to a local army camp for further questioning.
Their arrests came as local businesses across the three southernmost provinces faced a second week of intimidation by insurgent groups not to open on Fridays.
Reports said at least 70% of the shops remained closed and fresh markets were unusually quiet in Yala and Narathiwat after reports circulated that separatist militants planned widespread unrest.
Yala governor Decharat Simsiri and military officials inspected security arrangements at a fresh market on Friday morning.
Some vendors told the governor they were confident about their safety, but wanted security forces to watch over them consistently.
The reports said public van services were not operating in the southernmost border provinces of Pattani, Yala and Narathiwat, and in southern Songkhla.
Thaworn Senniam, a Democrat Party deputy leader and MP for Songkhla, said senior cabinet ministers should travel to the far South to see the situation for themselves.
He said that even though Friday was a normal shopping day for local people, at least 90% of the shops were closed and most people opted to stay in their homes.
He said this was a clear indication that the insurgents have been successful in disrupting the local economy, despite the large number of security officials deployed in commercial areas.
It was clear that the local people no longer have confidence in the government's ability to ensure their safety, he said.
The opposition MP said Prime Minister Yingluck Shinawatra or her deputies should visit the area in order to lift local morale. Otherwise the situation there could deteriorate further.