Unlike gold, the treasure Saudi Arabia is sitting on top of is: in higher demand, more easily convertible into wealth and prosperity, and among it's resource class, the most easily accessible in the world. That, combined with the fact they live in a dangerous part of the world, leads me to believe it's a rational decision to try to protect their treasure.

Whether their armed forced are capable is, sadly, depending on your POV, another story. Like in most autocratic societies, a strong military is seen as a threat to the leadership.