The missile was fired towards the Najran region but was shot down, said a coalition statement published by the official Saudi Press Agency.
Coalition forces responded by targeting the source of the fire inside Yemen, it added.
The coalition has been engaged in a bombing campaign against the Iran-backed Shiite Huthi rebels and their allies since March last year, and the insurgents have targeted their air bases.
Saudi Arabia has deployed Patriot missiles to counter such attacks.
Last month, the rebels launched one of their longest-range strikes against Saudi Arabia, firing a ballistic missile that was brought down near the holy Muslim city of Mecca, an attack that was roundly condemned by Riyadh's Gulf allies.