The EU statement comes after the bodies of Alik Dzhabrailov and his wife Zarema Sadulayeva, who worked for the children´s charity Save the Generation, were found dumped in the Chechen capital Grozny.
Mr Dzhabrailov may have been targeted because of alleged links with separatists. But his wife asked kidnappers to take her as well when the couple were snatched on Monday night, family members reported.
"It is important that an investigation into these latest murders is conducted promptly, transparently and thoroughly. The perpetrators must be brought to justice," the Swedish presidency said on Wednesday (12 August).
"The EU urges the Russian authorities to do everything in their power to ensure the protection of human rights defenders."
The Save the Generation deaths follow the shooting in July of prominent civil rights activist Nataliya Estemirova and the earlier slayings in Moscow of Chechnya human rights lawyer Stanislav Markelov and journalist Anna Politkovskaya.
A spokesman for German chancellor Angela Merkel told DPA that she will raise the topic at a meeting with Russian president Dmitry Medvedev in Sochi on Friday.
Mr Medvedev himself has condemned the Grozny killings as "vile."
Previous statements by both Moscow and Brussels have done little to bring people to account, however.
The string of murders has been widely linked to the regime of Ramzan Kadyrov, the 32-year old president of the semi-autonomous Chechen republic, who dresses in Armani sportswear and lives in a mansion with caged lions.
Mr Kadyrov has blamed "militants" trying to destabilise his rule.
Two of Russia´s leading human rights organisations, the Memorial NGO and the Novaya Gazeta newspaper, have pulled out of Chechnya in recent days due to safety concerns.
"The light of public scrutiny is gradually being turned off in Chechnya. First, international organisations and journalists were banned from the region, and now, local civil society is being eliminated," Amnesty International said.
The situation in Chechnya is part of growing instability in Russia´s North Caucasus region.
In neighbouring Ingushetia, gunmen on Wednesday murdered the local construction minister while he was sitting at his office desk. A bomb in June almost took the life of Ingushetia president Yunus-Bek Yevkurov.