France has become the third Western power to shut its embassy in Yemen, following threats from an al-Qaeda linked group.
The US and Britain announced they were closing their embassies yesterday.
The US government has accused al-Qaeda groups based in Yemen of being behind last month's attempt to blow up a US airliner over Detroit.
US Secretary of State Hillary Clinton said the US would reopen its embassy when security conditions permit.
Yemeni officials said that security had been tightened outside all embassies in the capital San'aa.
Security forces shot dead another two suspected al-Qaeda members in an operation north of the capital, a tribal source said.
Yemeni authorities have in recent weeks intensified operations against al-Qaeda, killing more than 60 Islamist militants in two raids in December.
It was reported earlier today by Yemen's Shia rebels that Saudi Arabia has carried out a series of lethal air raids across its border with Yemen, killing 16 civilians and wounding 19.
Ten other civilians were killed by one of the air raids carried out on Sunday, the rebels said in a separate statement posted on their website.
The Shia rebels, also known as Zaidis, have said they would withdraw from Saudi territory if Riyadh halts attacks on their fighters, launched in November, after the kingdom accused them of killing a border guard and occupying two Saudi villages.
Aid groups say more than 150,000 people have been driven from their homes as a result of the fighting.