Beyond traditional binary relational facts, n-ary relational knowledge graphs (NKGs) are comprised of n-ary relational facts containing more than two entities, which are closer to real-world facts with broader applications. However, the construction of NKGs still significantly relies on manual labor, and n-ary relation extraction still remains at a course-grained level, which is always in a single schema and fixed arity of entities. To address these restrictions, we propose Text2NKG, a novel fine-grained n-ary relation extraction framework for n-ary relational knowledge graph construction. We introduce a span-tuple classification approach with hetero-ordered merging to accomplish fine-grained n-ary relation extraction in different arity. Furthermore, Text2NKG supports four typical NKG schemas: hyper-relational schema, event-based schema, role-based schema, and hypergraph-based schema, with high flexibility and practicality. Experimental results demonstrate that Text2NKG outperforms the previous state-of-the-art model by nearly 20\% points in the $F_1$ scores on the fine-grained n-ary relation extraction benchmark in the hyper-relational schema. Our code and datasets are publicly available.