The coalition also said Saudi air defences had intercepted a cruise missile in the vicinity of King Khalid International Airport.
The airport remains closed after an attack there on Saturday killed 12 people and wounded more than 300 others, the deadliest such strike on the kingdom in over a decade, amid an escalation of fighting between the Houthis and Yemeni government forces.
Despite the airport's temporary closure, the Saudi Energy Ministry said a long-planned international energy conference was still going ahead in Riyadh on Sunday.
The Saudi-led coalition in Yemen said Sunday's projectile had targeted Terminal 4 of the airport, without elaborating.
Earlier, the Houthis had said in a statement on X: "We renew our warning to all airlines, experts, employees, workers and travellers against using Saudi airports and airspace, as they are vulnerable to attack and have become a theatre of operations for our forces, with the exception of the airports in (the holy cities of) Mecca and Medina."
Saudi Arabia has stepped up its military involvement in Yemen in recent weeks, launching strikes against the Houthis and backing a Yemeni government counteroffensive after the group seized strategic territory along the Red Sea coast last month.
Yemen's Houthi-run foreign ministry said later on Sunday that further Saudi military action in Yemen would trigger a stronger response, adding that its actions would be guided by the principle of reciprocity.
