Broadcaster Westdeutsche Rundfunk (WDR) reported that videos from the main train station in the cathedral city - the scene of most of the sexual assaults - had been found on the two men's mobile phones.
According to WDR, the videos show violent confrontations and sexual assaults against women.
Officers found a note on one of the men containing Arabic-German translations for phrases including "nice breasts", "I'll kill you" and "I want to have sex with you".
Cologne police have not yet confirmed the report, but have said they are currently investigating 21 people in connection with the sexual assaults. They had received 121 crime reports by Thursday.
@aktuelle_stunde Zusatz: 5 Iraner, 1 Iraker, 1 Serbe, 1 US-Bürger. Aufenthaltsdauer der 18 Asylbewerber liegt Innenministerium nicht vor.- Henrik Hübschen (@HuebschenH) January 8, 2016
A police report dating from January 2nd and leaked to media on Thursday revealed that four men had been arrested, 11 taken into custody and 71 stopped for ID checks by police on New Year's Eve.
Two of the arrests on New Year's Eve were on suspicion of stealing bags.
Five further men were arrested on January 3rd, again for thefts.