Saudi Arabia on Thursday intercepted and destroyed a ballistic missile fired from war-torn Yemen, state media reported, in the second such attack this month claimed by Iran-backed Houthi rebels.

The missile targeted the southern Saudi city of Khamis Mushait, but no casualties were reported, said a spokesman for the Saudi-led military coalition fighting the Shiite rebels.

"Royal Saudi Air Defense Forces intercepted the missile which was heading towards Khamis Mushait," the Saudi Press Agency quoted the Saudi-led coalition spokesman Turki al-Maliki as saying.

The Houthi-run Al-Masira television channel had earlier claimed the missile hit a military target inside Saudi Arabia, but that was contradicted by the Saudi authorities.

Hours earlier rebel chief Abdulmalik al-Huthi threatened to retaliate over the coalition's crippling blockade on Yemen, which was imposed earlier this month in response to a missile fired by the Houthis that was intercepted near Riyadh airport.

"Should the blockade continue, we know what (targets) would cause great pain and how to reach them," he said in a speech broadcast on Al-Masira.

Riyadh accuses its arch-rival Iran of arming Yemen's Houthis and earlier this month Saudi Arabia's powerful Crown Prince Mohammed bin Salman said this "could be considered an act of war".

Saudi Arabia has accused Iran of supplying the Houthis with arms. Tehran has denied the accusation.