We study the asymptotic zero distribution of type II multiple orthogonal polynomials associated with two Macdonald functions (modified Bessel functions of the second kind). On the basis of the four-term recurrence relation, it is shown that, after proper scaling, the sequence of normalized zero counting measures converges weakly to the first component of a vector of two measures which satisfies a vector equilibrium problem with two external fields. We also give the explicit formula for the equilibrium vector in terms of solutions of an algebraic equation.