Some of the victims were attacked with daggers, the sources said. Government officials said "tens of supporters of the government" were also wounded in Wednesday's clashes.
The demonstrators want Saleh out of power immediately.
Saleh accused his opponents of attempting a "coup against democracy and the constitution."
"We are not against change as long as it is done by democratic and peaceful means, within the constitution, and with respect to the people's will," he said in a statement carried by state news agency Saba.
The embattled leader's comments came after the president and opposition agreed on Tuesday to sign a landmark deal in the coming days for an orderly transition after three months of unrest which has killed more than 140 people.
The Gulf Cooperation Council (GCC), brokering the transition deal, said their foreign ministers would meet in Riyadh on Sunday to work out the modalities of the plan for Yemen.
"Riyadh will host on Sunday an extraordinary meeting for the Gulf Cooperation Council foreign ministers to continue the procedures for the adoption of the GCC initiative," it said in a statement.
However, hundreds of activists demonstrated outside the Saudi embassy in Sanaa in protest at the Gulf initiative, insisting that the veteran president go immediately.
"Youth of the revolt reject the Gulf initiative," said a banner carried by the young protesters outside the embassy.
The main moderate opposition parties have accepted the GCC plan, but the demonstrators on the streets said politicians should not hijack their campaign against Saleh.
The six-nation GCC has proposed the formation of a government of national unity in Yemen, Saleh transferring power to his vice president, and an end to deadly protests rocking the impoverished country.
Under the GCC initiative, the president would submit his resignation to parliament within 30 days, with a presidential election held within two months.
However, a defiant Saleh, who has been in power for 32 years, has publicly insisted on sticking to the constitution in any transfer of power, even though his ruling General People's Congress party has said it accepts the GCC plan.
In the main southern city of Aden, two policemen and a protester were killed in a gunfight on Wednesday, a security official and medics told AFP. Medics said three protesters were also wounded.
In another southern province, Abyan, suspected Al-Qaeda gunmen killed two soldiers and wounded three others on Wednesday, a security official told AFP.
Another security official said the network's militants had also seized two government buildings in Abyan -- intelligence and a criminal investigations headquarters -- on Tuesday.
Abyan is considered a stronghold of Osama bin Laden's local branch, AQAP.
Last month, at least 150 people were killed in a massive blast and fire at an ammunition plant looted the previous day by Al-Qaeda in Abyan.
Washington has expressed fears that Al-Qaeda could take advantage of a prolonged political crisis in Yemen. The 69-year-old president has been a close US ally in Washington's fight against Al-Qaeda.