According to the news outlet, the drone was aimed at Saudi facilities located in the southern region of the country.
The Houthi-controlled Al Masirah broadcaster said that the rebels claimed their drone had conducted strikes against military aircraft deployed at the airport in the southwestern Saudi city of Abha.
Footage shared on social media shows the moment of the alleged drone interception and the subsequent destruction by the coalition.
Yemen has been engulfed in an armed conflict between the government forces led by President Abd Rabbuh Mansur Hadi and the Houthi rebels since 2014. A Saudi-led coalition has been conducting an air campaign against the Houthi rebels in Yemen since 2015, at the request of Hadi.