According to coalition spokesman Turki Maliki, cited by the Saudi state news agency, the drone was downed in Yemeni airspace, Reuters said.
There has been no official statement issued from the armed Houthi political opposition faction, however, to confirm the report.
Over recent months, the Houthi faction has reportedly conducted several drone attacks on Saudi airports and oil facilities.
The Al Arabiya broadcaster reported on Monday that the Saudi-led coalition had intercepted and destroyed two drones launched by Yemeni rebels from the Houthi movement toward Saudi Arabia.
Drones were launched from the Yemeni capital of Sana'a late on Sunday, the broadcaster reported, citing the coalition spokesman.
Yemen, the poorest nation in the Middle East, has been engulfed in an armed conflict between government forces led by exiled President Abdrabuh Mansour Hadi, and the rebel Houthi opposition movement for several years. A Saudi-led coalition has been carrying out airstrikes against the Houthis at Hadi's request since March 2015.
The conflict has resulted in a massive humanitarian crisis in the war-torn country.