Acting on a tip-off late on Wednesday night that three men were behaving suspiciously near a mosque, police converged on al-Muwaya area but the suspects fled, Al-Riyadh newspaper reported on its website.
The three, referred to by police as members of a deviant group - usually a reference to Usama bin Ladin's al-Qaida which is seeking to overthrow the Saudi ruling family - fled in a white jeep, the paper said.
The men were apparently seen with some wires at a mosque near a police station on the road from Riyadh to Taif in the west of the country.
The incident came on the eve of the Muslim holy day of Eid al-Adha, with more than two million pilgrims in the kingdom to perform the Hajj.
Saudi Arabia has been battling a wave of attacks blamed on al-Qaida members and sympathisers that has claimed more than 100 lives and wounded hundreds since May 2003.