But the rebels insisted that the missile had targeted Jeddah, the Red Sea city in the sprawling Mecca region, and not the holy Muslim city.
The coalition has been carrying out a bombing campaign against the rebels since March last year and there have been rebel strikes towards the bases from which the coalition mounts air raids.
Saudi Arabia has deployed Patriot missiles to intercept the rebel fire.
"The air defence was able to intercept and destroyed it about 65 kilometres from Mecca without any damage."
The rebels' sabanews website said their ballistic missile targeted the international airport in Jeddah.
Islam's holiest sites are located in Mecca and Medina.
The six-nation Gulf Cooperation Council condemned the attack which it described as "clear evidence" that the rebels are not willing to accept a political solution to Yemen's 19-month-old conflict.
The United Arab Emirates' Foreign Minister Sheikh Abdullah bin Zayed al-Nahyan went further, criticising Iran for the attack.
Qatar called the attack "a provocation to the feelings of millions of Muslims worldwide".
All GCC states, apart from Oman, are members of the Saudi-led coalition. The UAE itself is a major pillar of the Sunni alliance.
The coalition as well as the United States accuse Shiite-dominated Iran of arming the rebels, a charge denied by Tehran.
The Huthi rebels are a minority group that belong to the Zaidi sect of Shiite Islam. They fought six wars against Yemen's government between 2004 and 2010.
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