Saudi Press Agency said the cause of the crash has not yet been established.
Some reports suggest that the aircraft was shot down accidentally.
Yemen has been suffering from a brutal conflict between the government and the Houthi movement backed by army units loyal to former President Ali Abdullah Saleh since 2014.
In March 2015, the Saudi-led coalition of mostly Persian Gulf countries started carrying out airstrikes against the Houthis at the request of governmental forces.
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