The attack on Saudi Arabia, a key ally of the U.S.in the Middle East, comes less than a day after President Donald Trump also pulled the US out of the 2015 nuclear accord with Iran.
Colonel Turki Al Malki, the official spokesman for the coalition forces, said that at exactly 7:18am on Wednesday, the Saudi Royal Air Force intercepted ballistic missiles launched by Houthi militia from the Saada governorate towards Saudi Arabia.
Saudi Arabia and its close allies Abu Dhabi and Kuwait hold nearly all the spare capacity that could respond quickly to a reduction in Iranian exports.
No casualty or damage was reported in the incident.
The missiles, added the broadcaster, quoted by pan Arab Saudi television Al Arabiya, were launched against unspecified "economic targets".
Before global sanctions were lifted following the nuclear deal in late 2015, Iran's crude exports stood at just one million barrels per day, mostly to Asia and European countries.
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A Saudi-led coalition, which includes the UAE, intervened in the Yemen war in March 2015 to fight the rebels at the request of the internationally-recognised government of Yemeni President Abdrabu Mansur Hadi.
"Following the USA decision to withdraw from the nuclear agreement with Iran, Saudi Arabia is committed to supporting the stability of oil markets for the benefit of producers and consumers and the sustainability of the global economic growth", the official said. Iran and the Houthis have regularly dismissed Saudi accusations that Tehran arms the group.
The latest missile attack comes after a months-long campaign by Shiite rebels in Yemen to strike Riyadh.
Saudi Civil Defence will test a warning siren in Riyadh and other provinces on Thursday.
Maliki added that the attempted missile strike was an explicit violation of two United Nations resolutions and was a threat to the security of Saudi Arabia and worldwide security.