It is not clear when the embassies in Sanaa will reopen
The closure of three embassies in Yemen followed local security forces losing track of six trucks full of arms and explosives, say reports from Yemen.
France announced its mission in the capital Sanaa was shut on Monday, a day after the US and UK closed theirs.
It comes after threats from an al-Qaeda wing linked to an alleged plot to blow up a transatlantic plane over the US.
But the UK Foreign Office said it was unaware of such a threat, and denied it was the cause for the embassy closure.
Yemeni government sources, meanwhile, said their forces had shot dead two militants north of Sanaa.
A Yemen-based group called Al-Qaeda in the Arabian Peninsula (Aqap) last week urged attacks on "crusaders" in embassies, as it claimed an alleged attempt to bomb a US airliner on Christmas Day.
The US shut its embassy in Sanaa on Sunday, citing "ongoing threats" by the militant organisation, and the UK followed suit.
On Monday, France shut its Yemen embassy, Japan suspended its consular service in Sanaa, and Spain restricted public access to its mission there.
According to Yemeni media, it comes after six trucks full of weapons and explosives entered the capital, and the security forces lost track of the vehicles.
Britain said on Sunday the shutdown was for unspecified security reasons.
BBC security correspondent Frank Gardener says Western embassies in the region are a prime target for al-Qaeda.
The Yemeni authorities have tightened security measures at Sanaa's airport, as well as around a number of embassies.
Meanwhile, all travellers flying to America are now being subjected to tougher screening, introduced by the US government.
Passengers from 14 countries, including those the US deems state-sponsors of terrorism - Cuba, Iran, Sudan and Syria - will face extra searches.
Yemen and Nigeria - through which the main bomb plot suspect, Umar Farouk Abdulmutallab, travelled - also face the new restrictions.
Passengers flying from other countries will be checked at random.