"There is a very high risk of attacks on government buildings and Western targets as well as the kidnap of foreign citizens, especially those from Western countries, both by Al Qaeda and by tribe members," the foreign ministry said in a statement.
"Recent information considered to be reliable indicates a particularly high risk of kidnap for Italian citizens."
The United States has closed two dozen of its embassies in the Middle East and north Africa after its spies intercepted militant communications, reportedly including an attack order from Al-Qaeda leader Ayman al-Zawahiri.
Washington has also evacuated dozens of diplomatic staff from Yemen.
On Tuesday the US consulate in the northern Italian business hub of Milan was evacuated after a bomb alert that was lifted following police checks.
Police were called to the consulate after staff there received a suspicious package, the local police press office told AFP.
Staff at several radio stations with offices in the same building were also evacuated, while nearby roads were closed to traffic and the closest metro line was suspended.
Italy's foreign ministry said the situation in Sanaa remained tense and dangerous, citing the presence of numerous armed groups in the Yemeni capital, and warning of a "widespread threat of terrorism".
The ministry advised strongly against travelling to Yemen and recommended that Italians already in the country leave if they were able to do so, and take all possible precautions if not, including avoiding all internal flights.
Italy's Foreign Minister Emma Bonino said earlier Tuesday there was no specific risk of attacks on Italy's embassies abroad and "no indication" that Italy was being specifically targeted. Italy's embassy in Yemen was closed on Monday and Tuesday.