The country's official news agency, WAM, announced the disappearance without giving further details.
The Saudi-led coalition of which UAE is a part has been carrying out air strikes since March 2015 in support of President Abedrabbo Mansour Hadi.Some 6,000 people have been killed in the Yemen conflict.
It is the first known loss of an Emirati jet in the conflict.
Officials have not yet announced the type of jet lost, or whether any pilots were harmed.
The UAE Air Force operates both F-16 and Mirage 2000 fighter jets.In December, a Bahraini F-16 crashed in Saudi Arabia due to a "technical error", while in May a Moroccan warplane came down over Yemen.Both jets were taking part in the Yemen campaign, which has the codename "Operation Restoring Hope".
The UN has criticised both the Saudi-led campaign and the Houthis for causing civilian casualties.
