The easiest way to do this would be using poly primitives. Create two cylinders or two cubes, one inside the other, and do a boolean function to hollow it out.

If you want to use NURBS circles, it will be trickier as they wont be one object after you finish. Even trickier if it's a square because each side of the square is a separate segment. Anyway, one way of doing this with a circle would be to create your two concentric circles, then duplicate and translate them for the other end of the tube. Now, perform the four lofts to create the surfaces (loft inner circle to outer circle at each end an inner circle to inner circle, outer circle to outer circle end to end). Delete your curves, delete your history, and group the lofts. You have to select the entire group when you want to use it as one object....kind of a drag, huh?

Maybe someone else has a more efficient way.