The two UN staffers were kidnapped near the presidential palace in Sabeen area southeast of Sanaa, Xinhua quoted police officials as saying. They added that they had no idea about their nationality.
The media said that one of the abducted westerners is a diplomat.
Police said the armed kidnappers were driving a car, adding that they had escaped to an unknown location.
Initial investigation showed that the kidnappers are Al Qaeda affiliates.
In the past two months, at least six foreigners were kidnapped in the Arab country. In February, tribesmen and Al Qaeda members abducted two British nationals and a German in Sanaa.
Foreigners are frequently kidnapped in Yemen, where security situation worsened after a political upheaval that broke out in 2011 severely weakened the government control.
Most of the kidnapped foreigners have been freed unharmed. Last month, a South African woman was freed from the southern province of Abyan, but a ransom of millions of dollars was demanded for the release of her husband, according to the media.
The Yemeni government has made efforts to stabilise the unrest-hit country by holding a national reconciliation dialogue which ended in January after a 10-month debate.