It says Iran warned the Saudi charge d'affaires against any violations of the diplomatic immunity of embassy staff and facilities.
Iran supports Shiite rebels in Yemen, known as Houthis, who seized the capital last year. Both Tehran and the Houthis insist it has not armed the rebels, but only provided humanitarian aid.
A Saudi-led coalition has been striking the rebels from the air since late March in a campaign aimed at restoring to power Yemen's internationally recognized president, who fled the country earlier that month.