The whirlwind "hit and overturned six cars", the agency said in a post on Facebook, with photographs showing one vehicle thrown against a house and another lying battered in a field.
It said an off-duty fireman was among the dead on the tiny volcanic outcrop, a tourist hotspot which lies closer to North Africa than Italy.
The wind ripped down a coastal road in seconds, according to media reports.
"It was an apocalyptic sight," an unnamed paramedic at the scene told ANSA news agency.
A hospital helicopter from nearby Lampedusa island was ready to provide assistance once the weather improved, it said.
Pantelleria, famed for its volcanic cliffs and hot spring waters, regularly attracts A-listers, from Sting to Giorgio Armani.
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