In a statement to AFP, coalition spokesman Turki al-Malki said: "We take this report very seriously and it will be fully investigated as all reports of this nature are".
A European Union naval force that operates in the region confirmed the ship was underway, adding that the crew were safe and unharmed.
The security sources said there was no camp for the displaced in the area. It gave no further details.
Guterres was speaking on the sidelines of a United Nations pledging conference a day after an air strike by the Saudi-led coalition that supports Hadi's government killed 12 civilians in the coastal city of Hodeidah.
Hodeidah port has become a launch pad for terrorist operations as well as for the smuggling of rockets and weapons, Al-Malki said while stressing that the command of the coalition forces will take all the necessary measures and means to maintain security and stability of maritime navigation and worldwide trade on Bab-el-Mandeb strait and the Red Sea region.
Impoverished Yemen has been wracked by conflict since 2014, when the Houthis overran much of the country, including capital Sanaa. Tehran and the Houthis deny the charge.
Speaking in Geneva on the sidelines of a U.N. pledging conference for Yemen, Guterres said his Special Envoy Martin Griffiths will head to the United Arab Emirates, Oman and the Yemeni government-held city of Aden in the drive for peace, Guterres told reporters.
The UN on Tuesday said $2.96 billion was needed to provide humanitarian aid for around 13.1 million Yemenis, whose country has been destroyed by a civil war.
Griffiths has already held talks with Houthi authorities as well as internationally-recognised Yemeni President Abd-Rabbu Mansour Hadi and Saudi officials in Riyadh.
Guterres said Saudi Arabia and UAE had donated $930 million for Yemen's humanitarian plan.
"Humanitarians must be able to reach the people who need help the most, without conditions", Guterres said.
Jan Egeland, secretary general of the Norwegian Refugee Council, called for a ceasefire and end to the war.