A defense ministry statement said the fate of the soldiers remains unknown.
The statement was a reaction to reports that the soldiers were captured by Yemeni rebels.
Saudi Arabia has unleashed an offensive against Yemeni Shiite rebels who crossed into the kingdom and killed a Saudi soldier earlier this month.
The rebels have been fighting Yemen's central government for five years, destabilizing the already impoverished nation that has become fertile ground for Al Qaeda.
Saudi King Abdullah said Friday his country will not allow anyone to "desecrate" its lands.