Mario Boffo, the Italian ambassador, speaking on Sky Tg 24 television said that the embassy was not damaged.
"We heard two strong explosions one after the other from the offices of customs authorities, a complex that is more or less 500 meters from the embassy and the ambassador's residence.
"We are trying to ascertain whether there were victims among passersby."
It was not immediately clear what the target was.
Security forces restricted access to streets surrounding the embassy, witnesses said.
The city has seen a number of such attacks in recent weeks.
The US embassy in Sanaa was targeted in March, with al-Qaeda believed to be the culprits. A schoolgirl and a policemen were killed in the attack and 19 people were injured.
On April 6, three rockets were fired at the homes of US oil experts in the capital.
Al-Qaeda in Yemen claimed responsibility for the attack. No casualties were reported.
Two days later, the US embassy in Sanaa said that it would be evacuating all non-essential staff from the country.