Riyadh police said security forces responded to an unauthorised, small drone-type toy after spotting it near a security point in the Khuzama neighbourhood.
The President of the General Sports Authority, Turki al-Sheikh, who ordered the suspension of the center's license and the opening of an investigation, said the video contained scenes that could corrupt public morals, adding in a Twitter post that Saudi authorities "will not tolerate this". There was no immediate information about any injuries or damage.
The authenticity of the videos could not be verified.
The Saudi Interior Ministry said in a statement that a system would be put in place to regulate the use of recreational drones.
Some observers say that due to ongoing tension among Saudi people due to frequent missile attacks by Yemen's Houthi Ansarullah and the ongoing socio-political transformation led by Crown Prince Mohammed Bin Salman made some people speculating of a possible coup attempt.More news: South Korea prepares for talks with the DPRK
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The powerful 32-year-old prince has also overseen a major military shake-up and a royal purge as he consolidates power to a degree well beyond that wielded by previous rulers.
"The king was at his farm in Diriya", the official said, naming another area of the capital.
In October 2017, a gunman drove up to a gate of the king's palace in the Red Sea city of Jeddah and opened fire, killing at least two security guards and wounding three others before being shot dead.
But a source inside the Saudi palace told Mehr news agency that the Saudi security forces were fighting a group of armed forces around the palace in the capital Riyadh, using rifles like AK 47 and Heckler & Koch G3.