The Washington Post reported that the Americans were believed to be held by the Huthi militia in a prison near the capital Sanaa, and that US efforts to secure their release had faltered, hampered by the fact that Washington has no direct links to the rebels.
The State Department had seen the "reports that several US citizens have recently been detained in Yemen," the official told AFP.
"We are doing everything we can to get these individuals released," the official said, but would not say how many were held or who was holding them.
US officials, quoted by the Post, said none of those held were US government employees.
Three of the prisoners were believed to work in the private sector, while a fourth was a dual US-Yemen citizen.
Saudi Arabia, aided by US intelligence, has been leading an air war since March 26 targeting the Iran-backed Huthi Shiite rebels.
The militia has seized parts of the country and forced the Western-backed President Abedrabbo Mansour al-Hadi to flee to Riyadh earlier this year, in a conflict which has claimed an estimated 2,000 lives.
Amid the violence, Washington closed its embassy in Sanaa in February and has temporarily relocated its ambassador and staff in Jeddah, Saudi Arabia.
US officials said that efforts to secure the release of the Americans had been mainly through "intermediaries including humanitarian groups that continue to have a presence in Sanaa," the Post said.
One of the prisoners had been approved to be released in recent days, but the rebels went back on their decision, the Post said.
He had initially been detained for overstaying his visa, but then the rebels accused him of travelling to "sensitive" areas in Yemen, a US official told the Post.
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