A spokeswoman at the Yemen Embassy in Washington also could not confirm the report.
"I have no information about that," she said. "We are not aware of any dead FBI agents in Yemen."
Monday's editions of Lebanon's Al Mustaqbal newspaper reported that Yemeni authorities had discovered the body of an American, believed to be an FBI agent working at the U.S. Embassy, who died in mysterious circumstances.
Al Mustaqbal quoted U.S. Embassy sources in Sanaa as saying the American was found two days ago in a car on the Sanaa-Hadida road west of the capital.
Other sources told the newspaper that the victim was believed to be from the FBI and to have diplomatic status. FBI agents sent to work abroad are frequently designated as legal attaches at U.S. embassies.
The U.S. Embassy in Sanaa imposed a blackout on the incident, which occurred shortly after U.S. Central Forces Commander Gen. Tommy Franks visited Yemen last week for talks on fighting terrorism.
An autopsy, conducted at the U.S. Embassy, indicated the American might have been a victim of a car accident, but the cause of death wasn't determined.
According to the embassy, the victim, who was not identified, carried out special missions from time to time in Yemen and was not a permanent member of the embassy staff.
Yemen has been battling Islamist militants, some with alleged links to Osama bin Ladin's al Qaida network.
The Sanaa government has had to fight militants of the so-called Aden-Abyan army, an Islamist force that claimed responsibility for the Oct. 6 bomb attack on the French tanker Limburg.