The arrests were the latest sign of tensions within the Saudi royal family as the kingdom's young crown prince, Mohammed bin Salman, assumes an increasingly dominant role in the country's affairs.
Following the arrest of the Saudi princes, they were sent to a notorious maximum-security prison of Al-Haear located south of Riyadh.
News website sabq.org said the princes had gathered at the Qasr a-Hokm, a historic royal palace, demanding the cancellation of a royal decree that stopped state payment of water and electricity bills for royal family members. The protesting royals also demanded compensation for the execution of their cousin, belonged to the royal family.
The economic overhaul has been linked to the arrest of more than 200 princes in an anti-corruption purge in November spearheaded by Prince Mohammed.
The nature of the missions assigned to al-Ajrab Sword Brigade is unclear, but activists say its members specialise in sensitive and royal-related cases.
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They have been held at the five-star Ritz-Carlton hotel in Riyadh while government officials negotiate financial settlements, asking them to hand over assets and cash in return for their freedom.
On Jan. 1, Saudi Arabia also hiked gasoline and fuel prices and imposed a five percent value-added tax on most goods and services, ending its decades-long tax-free policy.
The Gulf kingdom has also intensified efforts to boost employment of its own citizens.
The unemployment rate among Saudis aged 15 to 24 stood at 32.6 percent previous year, according to the International Labor Organization.