Footage shows the 28-year-old speaking to the head of a Cairo street vendors' union, who reported him to police a few weeks before he died.
Mr Regeni was in Egypt conducting postgraduate research into trade unions when he disappeared on 25 January 2016.
His tortured body was found in a ditch nine days later.
In the video the union head, Mohamed Abdallah, repeatedly requests payments from the student, who was studying at Cambridge University in the UK.
"My wife has a cancer operation, I will do anything as long as there is money in it," said Mr Abdallah.