The Saudi Black Hawk "fell during operations in the province of Marib" east of Sanaa, the coalition said in a statement carried by SPA state news agency, without clarifying the reason.
"The causes of the incident are being investigated," the statement added.
Coalition spokesman General Ahmed Assiri told AFP it was "too early" to comment on the causes of the crash, which is one of the deadliest incidents involving coalition forces in Yemen.
A Saudi-led coalition began air strikes over Yemen in March 2015 in support of President Abedrabbo Mansour Hadi's internationally recognised government in its fight against Iran-backed Huthi rebels.
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