The militant Islamic State (IS) group says it was behind an attack the previous day on a Saudi security building in the town of Zulfi in which all four gunmen were killed and three security officers were wounded.

The kingdom's state-run al-Ekhbariya news channel had reported that police foiled Sunday's attempted attack. Zulfi is about 250 kilometres north of the capital, Riyadh.

Videos circulating on social media show dead gunmen with machine guns and explosive devices.

The IS-linked Aamaq news agency released a video on Monday of the four alleged "martyrdom-seekers" behind the attack. It's unclear when the footage was filmed.

In the video, one man criticises the Saudi royal family and says the attack is to avenge Muslims imprisoned in the kingdom, Syria and Iraq.