Eyewitnesses in Sanaa reported Saudi-led air raids on Saturday near the downtown rally for the mourning ceremony of martyr Saleh al-Samad, the president of the political body of northern Yemen.
The Houthis took control of Sanaa in September 2014.
The missiles were headed towards the city of Jizan in southern Saudi Arabia, according to a coalition statement.
Saudi Arabia on Saturday intercepted four ballistic missiles fired by Yemeni rebels, the Saudi-led coalition against the insurgents said, with a local official reporting one man had been killed in the attack.
The Huthis, backed by Saudi Arabia's regional arch-rival Iran, confirmed the air strike on Sanaa but gave no details.
Shortly after Sammad's funeral began, the Huthis said they had launched eight ballistic missiles into the Sunni kingdom.
Spokesman for the Civil Defense Directorate in the Jazan District Colonel Yahya Abdullah Al-Qahtani said that the civil defense teams received a report on the fall of fragments of military projectiles launched by Houthi elements from inside Yemeni territory towards the governorate of Samta, resulting in the death of a citizen.
A coalition spokesman did not immediately respond to a request for confirmation. One person was reported killed by falling shrapnel in Riyadh last month.
Saturday's attacks came as newly-appointed US Secretary of State Mike Pompeo was scheduled to land in Riyadh for meetings including talks on the Yemen conflict.
The two sides in Yemen have fought to a stalemate after more than three years of war.
Rebels dressed in military fatigues marched ahead of his hearse, which included seven cars draped in the Yemeni flag and accompanied by a marching band.
Al-Samad was killed alongside his six bodyguards by Saudi-led coalition airstrikes on his residence in the port city of Hudaydah on April 19.
Yemen now stands on the brink of starvation.
A strike by the Saudi-led alliance has killed dozens of Houthi rebels in Yemen, including two commanders, Saudi media report.
Tehran has blamed Saudi Arabia for the war, which has unleashed what has been described by the United Nations as the world's worst humanitarian crisis, with the country now on the brink of starvation.