RIYADH - Saudi air defence on Monday intercepted a ballistic missile fired from Yemen, the Arab coalition backing the Yemeni government said, slamming a "dangerous escalation" as peace talks with rebels falter.

"The launch of the missile at this time is a dangerous escalation by Huthi militias" and the forces of ousted president Ali Abdullah Saleh, said the Saudi-led coalition in a statement.

It said the coalition is cooperating with the international community to "maintain calm and help the Kuwait (peace) talks to succeed".

The missile is the first to be reported fired from Yemen at Saudi Arabia since a ceasefire took effect last month ahead of the UN-sponsored peace talks in Kuwait.

The coalition said it will continue to exert self-restraint but "reserves the right to retaliate at the appropriate time and place" in the event such an attack is repeated.

The coalition said the missile was intercepted at dawn, adding that coalition's immediately destroyed the launcher inside Yemen.

In another incident, Saudi security forces shot dead a suspected militant in the western province of Taif a day after a policeman was killed in a shootout, the interior ministry said.

The gunman was killed after refusing to surrender to security forces hunting him over his suspected involvement in an attempt to infiltrate a police station parking area in the province on Sunday, a ministry statement said.

It identified him as Mohammed al-Maliki, adding that he had threatened in a video message to attack police and had been involved in a previous attack in which a policeman was killed.

The past week has seen a rise in such incidents in the kingdom, where the Islamic State group (IS) has previously claimed bombings and other attacks targeting security forces.

On Thursday, a police officer was shot dead after four suspected militants died during a raid in the area between Taif and the region of Makkah.

IS leader Abu Bakr al-Baghdadi has called Saudi Arabia's rulers "apostate tyrants" and called on Saudis to rise up against them.