A Saudi defense ministry statement on state media did not say whether there had been any damage as a result of the operation by the Saudi navy to intercept and destroy the remote-controlled boat.
Security firm Dryad Global had earlier said it received "unconfirmed reports" that a vessel, possibly the oil tanker NCC Dammam owned by a unit of Saudi firm Bahri, had been attacked off Yanbu.
Chief executive Abdullah Aldubaikhi told Reuters that no vessels owned by National Shipping Company of Saudi Arabia (Bahri) had been attacked.
British maritime security company Ambry also cited reports of an incident and said smoke was seen rising from a vessel. United Kingdom Maritime Trade Operations (UKMTO) said it was aware of reports of an incident approximately 2 nautical miles from Yanbu and that investigations were ongoing.
Vessels have previously come under attack in Red Sea waters.