Turki Al Maliki, spokesperson of the coalition, said that the missiles represented "a flagrant defiance of the International Humanitarian Law."
The incident occurred after a certain period of no such attacks that usually target Saudi border cities near Yemen.
Al Maliki said that Sanaa has become Houthi militia's assembly, installation and launching hub for ballistic missiles that target the kingdom.
The coalition has exercised "extreme prudence and self-restraint" in dealing with such violations, the spokesperson said.
The coalition will continue to apply and implement all decisive and rigorous measures, in accordance with the International Humanitarian Law, to protect the coalition states' nationals and expatriates from such attacks, the spokesperson added.