Sanaa is Yemen's capital, but Houthi rebels have controlled the city for months.
Hadi escaped a week ago after being under house arrest for a month following his resignation under pressure from the rebels. After fleeing to Aden in the south, he released a statement declaring he is still President of Yemen, and calling all political decision made since September illegal and invalid.
One of the Yemeni officials said that Egyptians will open an embassy in Aden in the coming days.
The Saudi ambassador to Yemen said Friday: "The security situation is calm in Aden and it's very difficult for us to resume our embassy operations in Sanaa."
Political negotiations came to an end on Friday after a majority of the political parties withdrew from the United Nations-led talk with the Houthis.
"Talks must take place where there is no militant threat," said AbdulAziz Jubari, the secretary-general of the Justice and Building party.
Jamal Benomar, the U.N. envoy to Yemen, visited Hadi in Aden on Wednesday and said in a statement that Hadi is still the constitutional president of Yemen. He stressed that Hadi must be part of the solution in Yemen and not be excluded.
Benomar said that Hadi refused to currently be involved in the political talks unless they are moved from Sanaa.
"Hadi agrees that the Yemeni crisis must be solved solving through dialogue," Benomar said.
The militants tightened their grip on power over the past month. Hadi resigned while still in Sanaa but rescinded after fleeing the capital.
Houthis are Shiite Muslims who have long felt marginalized in the majority Sunni Muslim country. They had been at war with the central government for more than a decade, but their entry into Sanaa in September brought things to a head, sparking battles that left than 300 people dead before a ceasefire was agreed to that month. Houthis then pressured Hadi to step down last month after he refused to agree to certain political demands.
The Houthis' takeover of Sanaa stunned governments of Western nations, which pulled out diplomatic staff this month. The United States, along with most European and Gulf countries, suspended operations in their embassies in Yemen amid growing unrest.