Nishi never told anyone squat and if he did he was pretty vague. The bombs in their heads were discoverd during the first mission. Kurono was escorting Kishimoto back to her home when they began to hear the ringing noise that warns the Gantzers they are leaving the boundaries. Kishimoto saw the body of one of the Gantzers that was left so they turned back. I guess they figured out that the ringing noise was a warning b/c when they turned back it's volume lowered.
I would really recommend you read the manga, so much better than the anime and much more graphic, yet informative.
Raising my fighting spirit.