The warning comes ahead of the introduction of a ban on the Islamic face veil, known as the niqab, in the southern canton of Ticino on July 1st.
Saudi Arabian tourists were also warned “not to treat their children too roughly”, according to newspaper reports.
The embassy called on citizens “to respect the legal provisions and laws of Switzerland to avoid any conflict”.
It also reportedly advised Saudis to keep a close eye on their servants following an increase in cases of domestic staff disappearing during journeys in Europe.
The embassy's message was spread via Twitter.
In November 2015, lawmakers in Ticino passed legislation prohibiting the wearing of the niqab and burqa – a full-length cloak – garments traditionally worn by women in many Muslim countries.
Fines for non-compliance will range from 100 francs to 10,000 francs ($104-$1,0369).
The law applies only to the wearing of Muslim veils and not to other types of face mask, such as those worn by hooligans or demonstrators.
The reports said “several hundred” women from Saudi Arabia visit Ticino every year and most wear the niqab.
Tourists from the Arab world account for around 40,000 overnight hotel stays every year and the main time to visit is summer.
The Ticino law does not explicitly exclude tourists.