The closure, which began on Saturday - the first day of the Muslim week - has no certain end date, said a Riyadh embassy spokesperson.
"Experts will take this day by day," said the official, adding that reports that the US embassy would close for three days were "speculation". He refused to provide further information on the nature of the threat.
"The embassy continues to receive credible information that terrorists in Saudi Arabia have moved from the planning to operational phase of planned attacks in the kingdom," a US advisory said on Friday.
"In light of the seriousness of the current threat, the embassy in Riyadh and the US consulates general in Jeddah and Dhahran will close on 8 November, to review their current security posture," it added.
The US embassy meanwhile has urged 40,000 Americans living in the kingdom to stay vigilant.
The precautionary steps follow Saudi security raids earlier this week in which three suspected al-Qaida members were killed.
Bin Ladin, in an audio tape last month, had vowed more attacks inside and outside the US.
The US, in another advisory earlier, had cautioned its citizens against undertaking non-essential travel to Saudi Arabia in view of the potential dangers.
Saudi officials were not immediately available to comment on the latest warning.
UK 'business as usual'
Meanwhile the British Embassy in Bahrain has warned its citizens of a high threat of attacks against Western targets.
A statement published on the embassy website on Saturday said the mission is particularly concerned about potential threats to places where Westerners might gather.
It added that Britons should review their security arrangements and remain vigilant, especially in public places.
Britain decided to keep its embassy open, a spokeswoman said.
The US and British embassies issue periodic terror warnings but the last time both the US and British embassies closed was following the 12 May triple human bombings of residential compounds in Riyadh that left 35 people dead.