Yes and No. Currently, the law in Saudi Arabia is that no church can be built or modified in the Kingdom of Saudi Arabia, so there are ostensibly no legal churches.
A number of Westerners in Saudi Arabia have special gated communities where they live during their off-hours. These places are physically walled-off from the rest of Saudi Arabia and have their own unique laws, resembling Western States. Among the permissions given to the people who live in these villages is the ability to build and worship in churches, provided that the noise can not be heard and the structure not seen outside of the walls of the gated community.
Recently, the influx of Filipino guest workers in Saudi Arabia has brought their religion with them. Filipinos, however, are not entitled to live in the special gated communities and must instead live in the small tenements that they can afford. Often times, a common living area will be used as a church on Sundays, but everyone is quiet about it since these churches are illegal by Saudi law. Many Filipino Christians fear that the Saudi Police will come and destroy the Christian relics/artifacts (such as the chalice or incense box).