The bodies of a father and two of his children were still under the rubble of the destroyed building while rescue workers managed to pull out the dead bodies of a woman and young girl, according to an AFP photographer at the site.
It was not immediately clear if there were any other people in the building when it was hit.
The dead father was identified by neighbours as Mounir al-Hakimi, a programme director at the Yemen Today television channel, which is owned by former president Ali Abdullah Saleh.
The channel itself said on its website that four family members were killed in an air strike but did not mention Hakimi or confirm that the victims were members of his family.
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The building is located near the rebel-controlled presidential headquarters in central Sanaa, which was struck by a missile overnight.
A car repair garage and a nearby private school were also hit, causing damage, according to an AFP photographer.
No casualties were reported in these strikes.
The coalition has been carrying out air strikes against Iran-backed rebels across Yemen since March.
The coalition last month announced that an independent inquiry would examine charges of possible abuses against civilians in the conflict.
A panel of UN experts says the coalition has carried out 119 sorties that violated humanitarian law, and called for an international probe.