The Rub Al Khali desert is more than 780,000 km² in size, making it the largest continuous sandy desert on our entire planet. With this size you will probably already guess that not only one single country has a share in this desert.
Saudi Arabia is best known for the Rub Al Khali desert. But also that Oman, Yemen and the United Arab Emirates have part of the desert in their respective national territories. So you can explore tons of different countries if you want to fully explore the desert.