A senior Yemeni source told the network the government was "on high alert against possible attacks in the days to come."
"The threat appears to be much worse than it has in a long time," the unidentified official said.
A recent upsurge in information indicating al-Qaida was planning something prompted the United States to order the closure of 22 embassies and consulates in Yemen and other areas of North Africa and Middle East Sunday.
The U.S. State Department issued a worldwide travel alert advising Americans to be on their toes, especially around mass transit and tourist attractions. Germany and Great Britain followed suit with weekend embassy closures.
The U.K. Foreign Office ordered Britons in Yemen to get out of the area immediately.
"If you don't leave the country now while commercial carriers are still flying it is extremely unlikely that the British government will be able to evacuate you or provide consular assistance," it said.
The Canadian government urged citizens to be wary, but did not plan to close its embassies in the region.
U.S. officials told CNN the intelligence on the threat was not specific enough to determine whether Yemen was definitely the target, which explained the broad scope of the weekend mission closures.
"I think this, closing all of these embassies in the Middle East to North Africa, is in fact unprecedented," said Christopher Hill, former U.S. Ambassador to Iraq.