France revealed on Tuesday a 30-year-old woman working for the World Bank was kidnapped by unidentified gunmen in the Yemeni capital and again urged its citizens to quickly leave the country.

"We unfortunately confirm the kidnapping this morning in Sanaa of a French citizen," the foreign ministry said in a statement, urging "all our compatriots to leave the country as fast as possible."

The woman, named Isabelle Prime, was abducted on the way to work, reported French channel BFM TV. She was taken by six men dressed as policemen, while her driver escaped.

Her former nanny and close friend shared her concern with the RMC radio station.

"I've been left shaking. I'm not doing well at all – I was very close to her. You could say that I was like her mother and her big sister. We were like a family," she said.

Prime herself was well aware of the danger of the area, telling a French newspaper last year: "Yemen is not a country at war, but there is a constant risk of attack, so we need to have armed guards."

Yemen has descended into chaos since Shiite Huthi militia swept into Sanaa from their mountain stronghold in the north last year, eventually prompting the president and prime minister to resign.

French President François Hollande called for the woman to be released "as soon as possible", adding that authorities were working to locate her.

The Huthis overran Sanaa in September, and then last month they seized the presidential palace and key government buildings and encircled the houses of senior officials in what authorities called a coup attempt.

That plunged the country deeper into crisis and prompted President Abedrabbo Mansour Hadi and Prime Minister Khalid Bahah to tender their resignations.

Earlier this month, the Huthis announced they had dissolved parliament and installed a "presidential council" to fill the power vacuum.

They have continued their advance south and west into mainly Sunni areas, where they have met with fierce resistance from tribesmen and Yemen's powerful branch of Al-Qaeda.

Faced with the worsening security situation, France joined a long line of countries such as Saudi Arabia, the United States, Egypt and Germany in shuttering its embassy in Sanaa.

On Saturday, Hadi made a surprise escape after weeks under house arrest and resurfaced in Aden, the capital of formerly independent south Yemen, where he resumed his duties and said all measures taken by the Huthis were "null and illegitimate".

An aide to Hadi said he had sent a letter withdrawing the resignation to Yemen's parliament, which had never met to formally accept it.

Bahah, who tendered his resignation at the same time as Hadi, remains under house arrest in Sanaa along with other ministers and officials.

Hadi is a southerner who spent nearly three decades in the north, serving as defence minister and vice president. He became president in 2012 after long-time strongman Ali Abdullah Saleh was forced from power by a year-long uprising.

A number of Western nationals have been taken hostage in Yemen in recent years. In December, US journalist Luke Somers and South African teacher Pierre Korkie were killed by Al-Qaeda militants in the southern Shabwa region during a failed US-Yemeni rescue bid.