The crowd at Alawwal Park in Riyadh remained in their seats, waiting for Monday night's match to start.
The Houthi movement has repeatedly attacked targets in Saudi Arabia in recent weeks.
At least three explosions were heard in Riyadh on Monday evening, while the Saudi-led coalition said it had intercepted two ballistic missiles fired at the city.
Al-Nassr won the Champions League match 3–1, with Ronaldo among the goalscorers.
