Some guards were reportedly wounded in the attack, according to state news channel IRIB.
The Saudi-led coalition fighting in Yemen says it will investigate the accusation, according to coalition spokesman Brigadier General Ahmed Asseri, as cited by Reuters.
Asseri acknowledged that coalition jets carried out heavy airstrikes in Sana’a on Wednesday night, targeting missile launchers used by the Houthi militia. He added that the group has used civilian facilities, including abandoned embassies.
He said the coalition had requested that all countries supply the coordinates of their diplomatic missions, adding that accusations made on the basis of information provided by the Houthis “have no credibility.”
Saudi jets conducted dozens of strikes on Sanaa on Thursday.
The Saudi-led coalition, which is supported by the US, is targeting Houthi rebels aligned with former President Ali Abdullah Saleh, who resigned in 2012 following a popular uprising against his rule.
The coalition has been heavily criticized for the way it conducts its airstrikes, and was accused of attacking a center for the blind in Yemen on Tuesday. It was also blamed for hitting a Doctors Without Borders hospital in Sanaa in December.
The instability in Yemen began during the Arab Spring protests in 2011. In 2014, Houthi Shiite rebels supported by pro-Saleh forces rose up and seized large territories in Yemen, including Sanaa.
The death toll from fighting in Yemen had reached 2,795 as of Tuesday, according to the UN. At least 81 people were killed in December alone.
The Thursday allegation came as Iran banned the import of all products made in Saudi Arabia. The decision was made in a cabinet meeting chaired by President Hassan Rouhani, according to Iranian student news agency ISNA.
The cabinet also reaffirmed a ban on Umrah pilgrimages to Mecca, which was first imposed in April after an alleged sexual assault on two male Iranians by Saudi airport guards.
On Sunday, Saudi Arabia severed ties with Iran over the storming of its embassy in Tehran. The move came just one day after Saudi authorities executed a prominent Shia cleric.