"The Interior Ministry claimed to have killed me. God have mercy, I am still alive," said the voice on the tape attributed to Mohammed al-Suwailmi.
"It is proof of the impotence of the apostate government," he said in the recording on Thursday.
The tape could not be immediately authenticated.
Saudi authorities had initially said al-Suwailmi was one of the five insurgents killed in gun battles in Dammam last week, but later said it was his brother Ahmed.
Four security men were also killed in the three-day firefight in the oil-rich city in the Eastern Province. The gun battle ended on 6 September when security forces stormed the insurgent hideout and killed everyone inside.
Twenty-seven on the Saudi list of 36 wanted insurgents remain at large.
The operation in Dammam was the latest in a string of offensives against al-Qaida suspects who have carried out a spate of shootings and bombings in Saudi Arabia since May 2003, many targeting Westerners.
According to official figures, at least 90 civilians, 47 security personnel and 121 insurgents have died since the unrest began.
Hundreds more have been wounded.