Four gunmen abducted Major Faraj Bin Qahatan while he was on his way to the headquarters of the intelligence agency near the airport of al-Mukalla, the capital of Hadramout province, an official said on condition of anonymity.
His car was ambushed by the militants who took him to an unknown destination by a motorbike, the official said.
Military sources told Xinhua that three days ago, the Al Qaeda had threatened to attack government facilities and army bases in al-Mukalla.
In January 2009, Al Qaeda wings in Saudi Arabia and Yemen officially merged to form the Al Qaeda in the Arabian Peninsula (AQAP).
The group operates mainly in Yemen's southern provinces of Abyan and Shabwa.