"Today, we are holding some farewell meetings... And the delegation will leave on Saturday," delegation spokesman Mohammad al-Emrani told AFP.
"There can be no more talks after the new coup," he said referring to the rebels' formation of a supreme political council to run war-torn Yemen.
The Iran-backed Huthi rebels and the General People's Congress of former president Ali Abdullah Saleh yesterday jointly announced setting up the 10-member council.
The job of the council would be to "manage state affairs politically, militarily, economically, administratively, socially and in security", a statement issued by the rebels said.
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A UN spokesman in Kuwait, however, said Ould Cheikh Ahmed was scheduled to meet with the rebels and with ambassadors of the 18 countries backing the peace process in Yemen.
Indirect negotiations held in Kuwait since April have failed to make headway. Most of the discussions focused on the type of the government to run Yemen during a transition period.
"It must be made clear here that it is the Huthi-Saleh alliance that foiled the peace talks in Kuwait. They have shown that they were never serious about a peaceful settlement," Emrani said.
"The negotiations have completely ended," said Abdullah al-Olaimi, deputy director of the president's office and a member of the government delegation.
More than 6,400 people have been killed in Yemen since the Saudi-led coalition intervened in support of Hadi's government.
Another 2.8 million people have been displaced and more than 80 per cent of the population urgently needs humanitarian aid, according to UN figures.