The missile was "destroyed with no damage" after its launch at around 12:15 am, a statement from the alliance said.
"Coalition air forces immediately responded by destroying the missile launching pad."
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The Huthis overran Sanaa in late 2014 before moving into other parts of Yemen, prompting a Saudi-led coalition to intervene in March last year.
This was at least the third missile launch since United Nations-brokered peace talks began in Kuwait in April between the Huthis and the government of President Abedrabbo Mansour Hadi.
The Huthis are allied with elite troops loyal to Yemen's former president Ali Abdullah Saleh.
Negotiations in Kuwait have failed to achieve a major breakthrough, and fighting has continued despite a formal ceasefire in conjunction with peace talks.
Saudi Arabia has deployed Patriot missile batteries to counter tactical ballistic missiles which have been fired occasionally during the war.
The UN says more than 6,400 people have been killed in Yemen since March last year, the majority of them civilians.
Fighting has driven 2.8 million people from their homes and left more than 80 percent of the population needing humanitarian aid.
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