US embassy also instructed its Yemeni employees to stay stay in their homes.
"The US embassy in Sana'a is closed today, Jan 3, 2010, in response to ongoing threats by al Qaeda in the Arabian Peninsula (AQAP) to attack American interests in Yemen," said a statement on the embassy website.
US officials said, "This week they were looking at ways to expand military and intelligence cooperation with the government of Yemen to increase pressure on al Qaeda militants in the Arabian Peninsula."
A Nigerian man, who attempted to bomb a US aircraft on Christmas Day, is believed to have received training from the militant group in Yemen.
Al Qaeda said the attempted bombing was in retaliation to US involvement in Yemen and its military support for the Yemeni government.