Several British embassy staff have been withdrawn from Sanaa over the security fears, a spokesman for the Foreign Office in London said.
"The embassy will be closed on the 4th and 5th of August," the spokesman said.
"We have withdrawn a number of staff from Sanaa, due to increased security concerns."
He added: "We are particularly concerned about the security situation in the final days of Ramadan and into Eid."
More From This Section
The United States had issued a worldwide alert on Friday warning of plans by Al-Qaeda to launch an attack in the Middle East or North Africa in August.
On Thursday, the US State Department had announced that at least 22 US embassies would close on Sunday as a precaution.
The State Department said attacks were possible "particularly in the Middle East and North Africa, and possibly occurring in or emanating from the Arabian Peninsula."
The Foreign Office advises British nationals against all travel to Yemen, and strongly advises any remaining Britons to leave the impoverished Arabian Peninsula country.
On its website, the Foreign Office warns of a "high threat from terrorism throughout Yemen", and says British nationals face "a very high threat of kidnap from armed tribes, criminals and terrorists".
There are no current plans to close other British embassies this weekend, a Foreign Office spokesman told AFP.