The ministry says the move represents strengthening ties between the two countries, also evidenced by President Tarja Halonen's visit to the kingdom last autumn.
It adds that the embassy will make it easier for Finnish companies to operate in Saudi Arabia and vice versa. Finland has had an embassy in Riyadh since 1974.
No timetable has been set for the opening. Saudi representatives are now looking for a suitable location.
Saudi Arabia has recently been in the news in Finland for its support for Islamic organisations here. However Finnish diplomats note that this is normal around the world, and has nothing to do with the founding of the embassy.