The officials say police received a phone call that prompted them check on the couple in their apartment. They broke down the door after no one answered and found only the couple's pet dog.
They say the two have been missing for three days and are believed to be kidnapped.
The officials spoke anonymously in line with regulations.
Late last month, two South African nationals were abducted in Yemen's second largest city of Taiz.
Yemen's president has warned that the al-Qaida branch in the country is expanding and using assassinations and abductions of foreigners as a way to challenge the central government's authority.