A search for events with large missing transverse momentum, jets, and at least two tau leptons has been performed using 2 fb^-1 of proton-proton collision data at sqrt(s) = 7 TeV recorded with the ATLAS detector at the Large Hadron Collider. No excess above the Standard Model background expectation is observed and a 95% CL visible cross section upper limit for new phenomena is set. A 95% CL lower limit of 32 TeV is set on the GMSB breaking scale Lambda independent of tan(beta). These limits provide the most stringent tests to date in a large part of the considered parameter space.