An Interior Ministry official said the car exploded while it was parked in front of a building in the Salam district on Monday.
Police surrounded the site, preventing journalists and passers-by from reaching the area.
"It was a small blast and the car was not stuffed with explosives but we are investigating the incident," the official said.
Another official said the car belonged to a major in the security forces, adding the blast appeared to have been timed to coincide with the dusk Muslim prayers.
"Forensic experts are now investigating the car to find out what substance was used," he added.
A statement read out on Saudi state television said firefighters put out a blaze which broke out in the vehicle.
Saudi Arabia has experienced several mainly anti-West attacks since May which have killed at least 50 people.
In November, bombers blew up a Riyadh compound using an explosives-laden car, killing 18 and injuring 122.
Anti-western attacks have been
increasing in Saudi Arabia
The Saudi regime routinely blames al-Qaida for the attacks, although independent confirmation is difficult.
Meanwhile, Britain upgraded its advice for travel to Saudi Arabia on Sunday, saying "terror" attacks could be in the final stages of preparation.
The travel advice followed a British newspaper report which said Saudi security forces had seized light planes packed with explosives, foiling a plot to blow up a Western airliner. Saudi Arabia denied the report.
The kingdom has been conductiung a brutal crackdown on opposition groups for several years.
But the crackdown intensified due to US pressure after the 11 September attacks.
Opposition groups say the Saudi rulers have no democratic legitimacy, and have condemned them for contravening human rights and Islamic values.