Before the video was released, Reuters quoted an alleged Umarov spokesman who denied responsibility for Monday's attack.
There has been significant concern that violence in the North Caucasus, often ignored by Russians and the press, will spill over into the rest of Russia.
"I'm very afraid it could be part of a new round, the next round of terrorism not just in the Caucuses but in Russia itself," Alexei Malashenko, an expert on the North Caucasus at the Carnegie Moscow Center, told ABC News.
"Radical extremists have accumulated forces, they had a good experience [on Monday], there's a new generation between 20 and 25 years old. I think they'll do something," he added.
Photos have emerged on Russian Web sites allegedly showing the faces of the Monday's female bombers as well as a frame of video of a goateed man suspected of shepherding the them to Moscow by bus from the North Caucasus. Russia's Interior Ministry has circulated pictures of the man and two female accomplices to police, but they did release them to the public and refused to comment on the veracity of the photos circulating online.
Security forces are on alert in both Moscow and Dagestan have been put on alert. The police presence in the Moscow subway has multiplied and cameras have been added to boost surveillance. On Wednesday, Medvedev ordered steps to be taken to develop a "complex system to guarantee security" on the country's public transportation.
It is unclear how Russia will respond to a potentially growing threat emanating from its south. While he was president, Putin advocated an iron-fisted approach and on Tuesday called for those responsible to be "scraped from the sewers."
Medvedev has also called for the terrorists to be "destroyed" but he has encouraged using social and economic efforts to quell the violence.
"I think it's necessary to keep the previous political course of reconciliation, economic reforms and the amelioration of living standards," said Malashenko. "If they continue to press, send additional forces to kill people, that will be a big mistake."
On Wednesday night, 3,000 people gathered at Moscow's Lubyanka metro station – the site of the first blast Monday – to pay their respects, a police official told Interfax.