The attack is believed to have been carried out by a "group of some twenty to thirty armed men", according to a security source.
The militants also set on fire nearby shops and a health centre, a government official said.
Sunday's church strike came two weeks after a similar attack against a Protestant church in Silgadji, also in the north, when gunmen on motorbikes killed a pastor and five worshippers. "It's practically a ghost town", he added.
The foreigners, who were kidnapped while on a trip through a nature preserve on the border between Burkina Faso and Mali, were held for almost a month before they were rescued.
Burkina Faso historically known for its religious tolerance has been beset by a rise in attacks in 2018 as the attack comes as jihadist groups seek to destabilise Burkina and the wider Sahel region.More news: NSW Waratahs star Nick Phipps says Israel Folau 'let us down'
"They killed five of them".
Frenchmen Laurent Lassimouillas, 46, and Patrick Picque, 51, were seized by kidnappers in Benin's Pendjari National Park, near the border with Burkina Faso, on May 1.
Roughly 55 to 60 per cent of Burkina Faso's population is Muslim, with up to a quarter Christian.
The attacks started in the north of the country before targeting the capital Ouagadougou and other regions, notably the east of the country.
A map showing where the two attacks took place.
Fighters affiliated to al-Qaeda and the Islamic State group as well as the local Ansarul Islam have been active in the region.
The United States announced earlier in May that it would double down on efforts to support the government of Burkina Faso, and would provide Burkina Faso's military with guidance on how to better train and manage troops and increase security around key targets.