On Saturday, embassy spokesman John Balian did not elaborate on the security concern or say how long the closure would last.
On Friday, the State Department said the security threat to US citizens remained high due to "terrorist activities", and authorised the voluntary departure of non-emergency personnel and eligible family members.
It also advised US citizens to avoid unnecessary travel to Yemen.
The State Department said it was concerned extremists might carry out attacks against US citizens or interests and that the embassy might temporarily close or suspend public services occasionally for security reasons.
The British embassy also closed to the public on Saturday, citing security reasons.
Yemeni officials on Saturday played down the US and British warnings.
A senior Yemeni Foreign Ministry official said there was no specific threat associated with the warnings issued by the US State Department and British Foreign Office.
"The American warning is more than a week old and the British warning is three days old," the official said, adding there was no specific threat linked to either.
It was unknown whether the US warnings were related to clashes between government troops and supporters of a slain rebel Shia cleric in Sada, a city 200km northwest of the capital, that have killed at least 43 troops and 37 fighters since 28 March.
The British government warned its citizens on Friday to avoid travel to the area around Sada.
Seventeen military personnal
died in the attack on USS Cole
"There is a high threat from terrorism and evidence that terrorists may target Western, including British, interests in Yemen. You should be particularly vigilant in places frequented by foreigners, such as hotels," the advisory added.
Supporters of the late Husain Badr al-Din al-Huthi, led by his 80-year-old father, have been accused of violating a cease-fire in place after al-Huthi's September killing. Al-Huthi's group is said to encourage anti-American sentiment through speeches at mosques and at demonstrations.
In 2000, al-Qaida bombers blew a hole in the destroyer USS Cole as it refuelled in Yemen's Aden harbour, killing 17 sailors.