The announcement came after three blasts and clouds of smoke were seen in the sky in Riyadh.
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. Saudi officials have not yet commented on the report. Saudi Arabia has accused Iran of funding and arming the rebel movement, a charge Iran has denied. He has previously warned that Saudi Arabia reserves the right to respond against Iran.
Al-Arabiya quoted al-Malki as describing the drone over Abha airport as a "hostile Houthi aircraft with Iranian characteristics".
Wednesday's missiles followed the downing of two Houthi drones earlier in the day in Jizan and the nearby Saudi city of Abha, the coalition said. The Houthis said they were targeting an Aramco facility in Jizan, but the company said its facilities there were operating "normally and safely".
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Al Masirah, a TV network run by the Houthis, claimed responsibility for the attack on Twitter, saying the rebels fired a Burkan 2-H, a Scud-type missile, towards the Saudi defence ministry.
"The air force announced the execution of air strikes with the Qasef-1 aircraft on Aramco in Jizan (province)", the channel said on its Twitter account, referring to a drone the Houthis unveiled past year.
Last month the Saudi army intercepted seven missiles over Riyadh launched by the rebels.
Yemen lies along one of the main global oil chokepoints in the Red Sea.
He said Saudi forces also intercepted two missiles in the southern Jizan and Najran provinces close to the border with Yemen.