The militants are thought to have been linked to two suicide bombers who launched a failed attack on 24 February against a Saudi oil processing plant -- the first direct attack by Al-Qaeda on Saudi Arabia's oil infrastructure.
Al-Qaeda militants have since threatened further attacks within Saudi Arabia.
Dubai-based Al-Arabiyah television quotes Saudi police who say a clash broke out overnight when authorities tried to arrest the suspects in connection with the failed attack on 24 February.
Correspondents near the villa in Riyadh's eastern residential suburb of Al-Yarmuk report hearing automatic gunfire, exploding grenades, and at least one helicopter during the siege of the villa.
(AP, Reuters, AFP)