Saudi Arabian security forces surrounded a building holding suspected militants in the west coast city of Jeddah, the Saudi commercial capital.
There have been gunfight in Jeddah's al-Jamea area, and Saudi TV reported that two of militants have been killed.
The suspected militants took refuge in the building after being chased by police, interior ministry spokesman General Mansur al-Turki said.
The country has faced a wave of attacks linked to the al-Qaeda organisation.
There have been a series of attacks and bombings in Saudi Arabia over the last three years. In the most bloody of these, 35 people were killed in a attack on three residential compounds in Riyadh in May 2003.
In February this year, a suicide attack on a major oil production facility in the eastern town of Abqaiq was foiled.