The explosion occurred as several diplomatic delegations from the European Union and other countries gathered at the Remembrance Day event organised by the French embassy.
A Greek government official said at least three people had been injured in the explosion,which the French Foreign Ministry described as a"cowardly attack".
The official,who declined to be named,said the attack had taken place in the"non-Muslim cemetery".
The French Foreign Ministry issued a statement calling on Saudi authorities to fully investigate the attack.
"The embassies that were involved in the commemoration ceremony condemn this cowardly attack,which is completely unjustified,"it said.
The blast is the second security incident to apparently target French people in Jeddah in the last couple of weeks.
On October 29,a Saudi man was arrested after attacking and wounding a security guard at the French consulate there. That attack took place on the same day as a terrorist attack.
The Nice attack followed the earlier who had shown his class caricatures of the Prophet Muhammad during a civics lesson.
The incident – and French President Emmanuel Macron's subsequent defence of free speech and crackdown on extremism – led to protests in some Muslim countries.
Reuters