I think there is some small cat sailing, maybe attached to a beach hotel. Khobar has a marina, as for keel yachts, ive never come across any saudi based sailing yachts.
Take a drive along the corniche and check out the marinas.
Thanks, I am off to Bahrain tomorrow so will check out the yacht club, a beer is as good a reason to visit. I was beginning to think it would only be sand yachts in this area!