The exiled Yemeni government, which is based in Saudi Arabia, echoed the claim but the Houthi rebels denied any such attack.
Coalition spokesman Colonel Turki al Maliki said two missiles were shot down between Jeddah and Taiz districts of Makkah on Monday but did not elaborate on the suspected target or who fired them.
However both satellite news network al Arabiya and pan-Arab newspaper Asharq al Awsat said the missiles were fired by Yemen's Houthi rebels at Makkah.
They said it was the third such launch by the Houthis targeting Makkah since the Saudi-led coalition intervened in the war in Yemen in March 2015.
Iran condemns Saudi-led air strikes on Yemen
The Houthis denied any such missile fire, adding that they would have claimed responsibility if they had been behind a launch.
"We wouldn't be embarrassed to claim any operation to defend our people and land," a rebel spokesman said in a tweet.
The exiled Yemeni government's information minister, Muammar al Iryani, said: "The Houthi militias targeted Makkah," adding that the "terrorist crime" was carried out "on orders from Iran," Saudi Arabia's arch rival.
The claim comes against a backdrop of rising regional tensions between Iran and Gulf Arab countries allied with the United States.
Saudi Arabia is to host twin summits in Makkah next week of the Arab League and of the six-nation Gulf Cooperation Council, which has been divided by a boycott of Qatar by Saudi Arabia and its allies.
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