Earlier the Islamist insurgents said a French soldier was killed in a failed bid to free Denis Allex overnight in southern Somalia.
"The French did not get what they were looking for," Shebab’s military spokesperson Abdulaziz Abu Musab told the AFP wire service by telephone.
The French commandos left the body of their colleague behind following the operation, he claimed.
Shortly after the claim was made public, the French defence ministry said that the hostage had been killed by his captors.
At least one resident of the town of Bulomarer, where the attack allegedly took place, reported seeing the lifeless body of a white man.
Witnesses said four helicopter gunships were used in the raid.
"A French soldier was killed during an exchange of fire, and his body was left by his comrades" after two attempts to recover it failed, Abu Musab said.
A secret agent, named as Denis Allex, was kidnapped in Mogadishu in August 2009 along with another agent who was released the following month.
The move came as France provided airpower to back up a Malian government offensive against other Al Qaida-linked groups in northern Mali.