The battle erupted when Saudi security officers raided a farm where the fugitives were hiding out.
At least 8 Saudi officers were injured in the incident. One suspect was recovered alive, an unidentified interior ministry spokesman said.
Saudi Arabia is cracking down on suspected militants after a suicide attack on a housing compound left 34 people, mostly westerners, dead. The kingdom has come under fire for supporting terrorism.
The confrontation took place near the military airbase of al Fouelik.
An unidentified Saudi security source said that American soldiers may be stationed at the airbase, according to an al Jazeera correspondent. This is unconfirmed.
In a report last week, US authorities suggested Saudi Authorities could have done more to prevent the September 11 attacks in New York.
Details of the allegations are not available as the US government censored large swathes of the 900-page report on the intelligence failings in the run up to the attacks.