The missile was fired toward the western Yanbu city but was shot down by the Saudi air defenses, the official SPA news agency quoted coalition spokesman Colonel Turki al-Maliki as saying.
He said the missile was fired with the intention of targeting civilian and populated areas.
No injuries or damage were reported.
Tuesday’s missile attack was the sixth by Houthi rebels since the start of the Muslim fasting month of Ramadan, which began last month.
Impoverished Yemen has been wracked by conflict since 2014, when the Houthis overran much of the country, including capital Sanaa.
The conflict escalated in 2015 when Saudi Arabia and its Sunni Arab allies launched a wide-ranging military campaign aimed at rolling back Houthi gains in Yemen and shoring up the country’s Saudi-backed government.