On Thursday, Tehran accused Saudi Arabia of carrying out an airstrike on its embassy, which injured several guards, Sputnik reported.
"It [investigation] confirms the embassy building is safe and has not been damaged," the coalition said in a Thursday statement, as quoted by The National, adding that Tehran's "allegations are false and that no operations were carried out around the embassy or near to it."
Tehran said it would provide a report detailing Saudi Arabia's alleged airstrike against the Iranian embassy in Sanaa to the United Nations.
On Monday, Saudi Arabia formally severed diplomatic ties with Iran, a move that came after Riyadh announced the execution of prominent Shiite cleric Sheikh Nimr al-Nimr on January 2, inciting a response in Iran, where protesters stormed the Saudi embassy in Tehran.
Since 2014, Yemen has been engulfed in a military conflict between the government headed by Abd Rabbuh Mansur Hadi and Shiite Houthi rebels, the country's main opposition force.
An international coalition led by Saudi Arabia has been launching airstrikes in Yemen at the request of president Hadi since March 2014, in an attempt to push Houthis out of areas they have come to control.