A security screening point had noticed a small, unauthorized recreational drone, leading security forces to deal with it "according to their orders and instructions", state news agency SPA has said. As the Kingdom has not yet formally formed regulations for using drones.
Saudi Arabia has asked drone enthusiasts to obtain permissions first before letting their devices hit the sky.
Saudi Arabia's King Salman was not in his palace when gunfire was heard.
Security around the palaces appears to have tightened in recent months as powerful Crown Prince Mohammed bin Salman oversees landmark social and economic reforms to prepare for a post-oil era, despite the risk of riling religious hardliners.
OPCW: Inspectors unable to begin probe
The use of chemical weapons against civilians is illegal under worldwide law, particularly the Chemical Weapons Convention. Colorful charts were used at a briefing in Moscow to demonstrate how effective the Russian-organized Syrian defenses were.