The agent has been held hostage since 2009, a rebel spokesperson said on Saturday.
French officials were not immediately available to comment on reports of the raid, in which a Somali government official said at least two people were killed.
France carried out air strikes against al Qaeda linked rebels in Mali in west Africa on Friday.
The official for al Qaeda-linked al Shabaab said one of the French commandos had been killed by anti-aircraft fire from the rebels.
The government official in Bula Mareer, about 120km south of Mogadishu, said the helicopters attacked on early on Saturday and were believed to have been on a mission to rescue Denis Allex. He did not confirm which country the helicopters belonged to.
Allex was one of two French intelligence officers from the DGSE agency kidnapped by al Shabaab in Mogadishu in 2009 but one, Marc Aubriere, escaped a month later. Allex has been held ever since. His fate was not immediately clear.
Repulsed with anti-aircraft guns
"Helicopters attacked al Shabaab at 2am this morning. Two civilians died in the crossfire," Ahmed Omar Mohamed, deputy chairperson for lower Shabelle region, told Reuters.
"The helicopters resumed attack after hours and targeted a house – so far we have no more details."
The al Shabaab official, who asked not to be named, said they exchanged fire with French commandoes.
"Three helicopters dropped French commandoes. We exchanged fire," the official told Reuters. "They attacked us in a house where they thought their Frenchman was held.
"We drove them back. They missed one commando and then the helicopters resumed attacking but we repulsed them using anti-aircraft guns. The helicopters lost one commando whose body is lying in the town."
The French government has previously said the two men were in the Somali capital to train local forces before being kidnapped.
After his abduction al Shabaab issued a series of demands, which included an end to French support for the Somali government and the withdrawal of African Union peacekeepers, whose 17 600-strong troops are helping battle the rebels.
Afraid
Given the sensitivity of Allex's work, Paris has been cautious when commenting on the situation and there are few public campaigns for his release.
A video of Allex pleading with French President Francois Hollande to negotiate his release and save his life appeared on a website in October used by Islamist militant groups around the world. Reuters could not immediately verify its authenticity.
Hollande said at the time the government was seeking to start talks with any party able to facilitate Allex's release.
Bula Mareer residents said they feared there would be a repeat raid.
"We are afraid the helicopters will return to bomb the town; (al Shabaab) fighters are on the move," said Rukia Hassan, a mother of three.
Al Shabaab fled its last urban bastion of Kismayu in October during an offensive by African Union and Somali government troops. The loss of the port city was a major blow to the rebels, depriving them of revenue from taxing local businesses and shipping.
Malian government troops drove back Islamist rebels from a strategic central town after France intervened on Friday with air strikes to halt advances by the militants controlling the country's desert north. – Reuters