It was not clear if the embassy closure was temporary or permanent.
Diplomatic relations between Mauritania and Israel have been strained since Israel launched a military offensive in the Gaza Strip in December.
Mauritania, along with Qatar, suspended economic and political ties with Israel in January to protest against the offensive.
The move followed calls from Bashar al-Assad, the Syrian president, and Khaled Meshaal, the exiled leader of the Palestinian faction Hamas, for all Arab nations to cut ties with Israel.
The leaders made the appeal at an emergency Arab summit in Doha, the capital of Qatar, in January.
Mauritania is one of three Arab nations to have diplomatic ties with Israel, along with Jordan and Egypt.