According to Arabic-language al-Omanaa news website, the chopper crashed into Tanhala Mountains on Friday.
Colonel Turki al-Malki, a spokesman for the Saudi-led coalition against Yemen, claimed that the crash was caused by a technical failure, Presstv Reported.
The helicopter, which belongs to the Saudi ground forces, allegedly came down "when it was carrying out its tasks of fighting terrorism and smuggling in al-Mahra in Yemen," the Saudi Press Agency quoted Malki as saying.
Yemeni sources said that Saudi forces are spread in the oil-rich areas of Mahrah, adding that Yemen's former president Abd Rabbuh Mansur Hadi visited the province recently and was received by Saudi Arabia’s ambassador to Yemen Mohammed al-Jaber.
The news comes as the Yemeni army, backed by allied fighters from Popular Committees, has been conducting attacks against Saudi Arabia in retaliation for the kingdom’s aggression on their country.
On Thursday, the Yemeni forces fired a homegrown ballistic missile on a military base in the southern Saudi region of Najran.
Saudi Arabia and its regional allies launched the devastating military campaign against Yemen in March 2015, with the aim of reinstating former president Abd Rabbuh Mansur Hadi and crushing the Houthi movement.
Some 15,000 Yemenis have been killed and thousands more injured since the start of the Saudi-led aggression.
More than 2,200 others have died of cholera, and the crisis has triggered what the United Nations has described as the world's worst humanitarian disaster.
A representative for the United Nations Children's Fund (UNICEF) said on Thursday that the ongoing conflict in Yemen has made the impoverished Arab country a "living hell" for children.
Saudi jets kill more civilians in Yemen
Yemen’s al-Masirah news website reported that Saudi airstrikes claimed the lives of eight civilians in al-Hali district of Yemen’s Hudaydah city on Friday.
Saudi and Emirati troops and their mercenaries are currently waging an offensive against Hudaydah, the entry point for some 70 percent of Yemen's imports including food and aid.
They began their assault in June despite warnings that it would compound the impoverished nation’s humanitarian crisis.
UN warns of 'alarming' situation in Hudaydah
The United Nations on Friday warned of an alarming situation in Hudaydah, and said the Saudi airstrikes and renewed fighting have targeted humanitarian workers and infrastructure, putting millions at risk.
The World Food Programme (WFP) said it was "extremely concerned about the series of security incidents in Hudaydah city these past few days in and around deconflicted sites critical for the humanitarian response in Yemen", describing the situation as "alarming".
The UN Food agency warned that "the conflict (is) threatening the continuity of humanitarian assistance to the city and surrounding areas where needs are among the highest in the country."
Talking to reporters in Geneva, WFP spokesman Herve Verhoosel denounced that a number of security incidences had been reported since Wednesday, including at the Red Sea Mill Silos, a facility critical for the agency's operations in Yemen.
"The ongoing clashes could jeopardize the shipments of 46,000 tonnes of wheat expected to arrive to Hodeida within the next ten days," Verhoosel said, warning that fighting near the mill "could impact our ability to feed up to 3.5 million very hungry people in northern and central Yemen for one month".
He said that a WFP warehouse "holding enough food to assist 19,200 very hungry people" in the city was also hit by a mortar shell launched by an unidentified armed group. A guard at the warehouse was injured in the attack.
The spokesman added that clashes have also been reported "in extremely close proximity" to WFP's offices and housing.
This, he said, "could potentially compromise the safety and security of 33 WFP staff in Hodeida city currently working round the clock to assist Yemenis suffering from acute hunger and malnutrition."