However, the federal government has ruled out any prisoner swaps, claiming Australia does not have any Russians in detention.
Oscar Jenkins was detained by Russian Armed Forces members after fighting for Ukraine and was alive, Russia's ambassador to Australia has told officials.
The Russian Embassy in Australia did not confirm Mr Jenkins' condition but said it was a matter for the foreign affairs department.
Prime Minister Anthony Albanese has ruled out any prospective prisoner swap. (Richard Wainwright/AAP PHOTOS)
"We can confirm that information regarding Oscar Jenkins has been transmitted to the Department of Foreign Affairs and Trade," it said in a statement.
Associate Professor Matthew Sussex from the Australian National University said the country might retain Mr Jenkins for a future high-value prisoner swap.
It could resemble the recent prisoner swap in which American journalist Evan Gershkovich was freed after 500 days in a Russian prison.
Mr Gershkovich was released in exchange for Russian political prisoners being freed and numerous Russians jailed in the West for espionage, murder and other crimes being returned to the country.
"With Mr Jenkins alive, they might seek to include him to extract maximum value for people who are being held in western jails for things like espionage," Dr Sussex told AAP.
He said Russia might argue Mr Jenkins was captured on the battlefield and that it was "doing a favour" by treating him as a prisoner of war
"There's not very much for Russia to lose," he said.
"They do know that Australia will want Mr Jenkins back and probably be prepared to pay a premium.
"That's unfortunately how these things go when dealing with Russia."
Prime Minister Anthony Albanese said the government did not take anything it heard from the Putin regime at face value and called for the Russians to provide proof.
"We don't think that he should suffer from ongoing incarceration and we'll continue to make representations," he told reporters in Melbourne.
"But we'll also continue to work … with Ukraine as well, on ascertaining further information."
Australia is working with Ukraine and the Red Cross to access Oscar Jenkins and verify his welfare. (HANDOUT/'SLADKOV+' TELEGRAM ACCOUNT)
Mr Albanese ruled out any prospective prisoner swap, declaring Australia had no Russian prisoners in its custody.
"Australia doesn't have prisoners in those circumstances," he said.
But a married couple who are Russian-born Australian ciizens remain in custody after being arrested in Brisbane in July over spying accusations.
Mr Albanese said his heart went out to Mr Jenkins' family and Australia would continue to offer every available assistance.
Foreign Minister Penny Wong confirmed on Wednesday conversations were under way with the Russian embassy and country about Mr Jenkins' welfare following fears he had been executed.
"If Russia does not provide Mr Jenkins the protections he is entitled to under international humanitarian law, our response will be unequivocal," she said in a statement.
Australia is working with Ukraine and the Red Cross to access Mr Jenkins and independently verify his welfare.
Dr Sussex said after Australia received confirmation of Mr Jenkins' condition from the Red Cross it would try to organise consular access to him - something Russia might not agree to.
"We'd certainly ask the question in any case, and if not us, then you know, a neutral third party potentially to actually get to sit down and talk to him, see how he is," he said.
"Then I think it's probably a matter of seeing what the Russian government's price is to let him go."
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