A video posted on YouTube, which has since been removed, appeared to show the woman sitting by herself among some empty seats in a section reserved for visiting fans.
A man nearby appears to be looking intently at the woman, who also sported sunglasses with her scarf in al-Shabab’s black and white colours for the match, which the team won 1-0.
The arrested woman, whose name has not been made public, said she bought a ticket online without any problems, and according to the state-linked Okaz newspaper, did not know women were prohibited from going to the male-only stadiums.
Police spokesman Atti al-Qurashi said security spotted her at the stadium ‘deliberately disguised’ in male attire to avoid detection, according to state-linked news website Twasul.
Officers reportedly questioned the woman, who is in her twenties, for ‘impersonating’ a man by wearing trousers, a long-sleeve top, a hat and sunglasses.
Most women in Saudi Arabia cover their hair and face with a veil known as the niqab and all women are required to wear a loose black dress known as the abaya in public.
Okaz reported that the woman has been in police custody since Friday and is being held at a center for girls in the western province of Mecca. No charges have yet been brought against her.
Mr al-Qurashi said the presence of the woman was ‘against the regulations’, and said her case ‘has been forwarded to the specialised authorities.’
He also ‘confirmed the need to comply with the instructions and regulations issued by the official authorities with regard to this matter.’
Ultraconservative Saudi clerics shun female access to exercise and women’s teams are not part of the kingdom’s federation that oversees sports.
Women often struggle to find facilities to train and are not allowed to attend matches in stadiums.
However, there have been exceptions for foreign women. In October, an Australian female supporter of Western Sydney Wanderers Football Club was permitted to attend a match at Riyadh’s main stadium.
And in January, a group of American women traveling with members of U.S. Congress watched a local club match, also in Riyadh.
Saudi women still need permission from a male guardian to work and marry, and restaurants are divided into ‘family sections’ with separate areas for single men.
Saudi Arabia is also the only country in the world which does not allow women to drive, and those who challenge the ban risk arrest.
Earlier this month, Loujain Hathloul, 25, from Riyadh, was arrested as she tried to drive into Saudi Arabia from the United Arab Emirates.
Women have been barred from driving since the establishment of the state in 1932 and earlier this year, a woman reportedly received 150 lashes after being caught behind the wheel.
Protests and acts of defiance against the ban have grown in recent years, with women posting videos of them behind the wheel to social media.
The last mass protest was launched in October last year, when 60 women took to the streets of Saudi Arabia driving cars and posting videos of themselves singing to Bob Marley’s hit ‘No Woman No Cry’ with the words ‘No Woman No Drive’.
The ultra-conservative Salafist tradition of Islam is predominant in the kingdom, where it applies to both religious and political life.
Last month, Princess Ameerah, the former wife of a multi-billionaire Saudi Arabian royal, vowed to fight to win the basic right for women in the kingdom to drive a car, telling MailOnline it ‘can happen overnight’.
She told MailOnline at the 5th Abu Dhabi Media Summit in the United Arab Emirates last week: ‘It is my job and duty to use my power and influence to highlight these kind of issues and to try to find solutions.
‘I am offered platforms to speak around the world, and I must use them to try to change things.
‘I don’t believe the ban will go on indefinitely. It will be like the decree calling for 20 per cent of Parliament to be made up of women – a surprising development, but one which happened very rapidly.
‘I believe that it is the generation of young people in Saudi Arabia which is going to accelerate change in the country.’
In June, London law graduate Ghoncheh Ghavami, 25, was arrested after she tried to watch a volleyball match at the Azadi stadium, in Tehran, Iran – which women are banned from attending.
Miss Ghavami, 25, was charged with ‘propaganda against the regime’ – a charge that carries a possible prison term of several years, and faces trial in front of Tehran’s notorious revolutionary court.