One man was killed in Riyadh last month by debris after the military shot down a flurry of missiles, the first casualty of the Yemen war in the Saudi capital.
Media reports also noted that Yemeni Qasef-1 drones had targeted an Aramco facility in the nearby Jizan region.
A photo distributed by the Houthi Military Media Unit shows the launch by Houthi forces of a ballistic missile aimed at Saudi Arabia on March 25, 2018.
Houthis claimed the attack on Twitter, saying the intended target of the attack was the Saudi defense ministry in Riyadh.
The channel did not provide any details on casualties of damage from the alleged attack, however Saudi authorities said its facilities in Jizan were operating "normally and safely" following the Houthis' announcement.
More than 10,000 people have been killed in Yemen since the beginning of the conflict.
The coalition accuses the Houthis of being armed and supported by Iran - charges the group and Tehran deny.
"An Iranian ballistic missile launched from Sadaa towards Riyadh was successfully intercepted by Saudi Air Defence earlier today", Colonel Turki al-Malki, spokesman for the Saudi-led coalition fighting the Huthis, said.
Yemeni forces regularly target positions inside Saudi Arabia in retaliatory attacks against the Riyadh-led military operation.
Saudi forces said they also destroyed two Houthi drones targeting the cities of Jizan and the airport in Abha, also near the border with Yemen.
The Houthis a year ago unveiled the Qasef-1 drone, along with three other new types of drones used for surveillance and attack, claiming they were indigenously made.
Qasef 1 is a drone aircraft previously unveiled by the militant rebel group.