The rebels' Saba news agency said the missile was aimed at offices of Saudi oil giant Aramco in the town of Jizan.
The coalition, which has been fighting the rebels in support of government forces for the past two years, said the missile was intercepted without casualties or damage.
The Yemeni army said the toll from yesterday's rebel rocket attack on its camp in Marib province, east of the capital Sanaa, had risen to 32 dead and 81 wounded.
Military sources said the rebels hit the Kofel camp in Sarwah district with a Katyusha-type multiple rocket launcher and hit a mosque crowded with soldiers for the main weekly prayers.
Despite the coalition's military intervention, the rebels still control Sanaa and much of the northern highlands and Red Sea coast.