"We are definitely sure it wasn't shot down," Brigadier General Ahmed al-Assiri, the coalition spokesman, told AFP.
He said the F-16 pilot, who remains missing, was part of a formation, and other aircraft "did not notice any firing from the ground".
Yemen's Shiite Huthi rebels said yesterday they had shot down a coalition warplane, shortly after Morocco reported one of its fighters missing on a sortie.
It was the first coalition aircraft to have been reported missing over Yemen in the more than six-week bombing campaign launched on March 26.