While Iran denies allegations it provides weapons to the rebels, Macron said the missile was "obviously" Iranian, echoing USA claims.
But Iranian Foreign Ministry spokesman Bahram Qassemi rejected that possibility.
The Iranian statement came after the French President during a visit to Dubai said that he is very concerned over Iran's ballistic missile program and stressed the need to start negotiations on it. He added, though, that France was committed to the landmark nuclear deal with Iran, which puts restrictions on Iran's nuclear activities in exchange for sanctions relief.
Iran has repeatedly told French officials that the agreement is "not renegotiable and Iran doesn't allow the other sides to annex other issues to it", Qassemi stated.
The United States accused Iran on Tuesday of supplying Yemen's Houthi rebels with a missile that was sacked into Saudi Arabia in July and called for the United Nations to hold Tehran accountable for violating two U.N. Security Council resolutions.
According to the Saudi diplomat, the Saudi letter shed lights on the attack and uncovered that the ballistic was an Iranian-made missile, which was sent to the Houthi militias in Yemen.
France has been trying to save the nuclear deal which Iran signed with six world powers - Britain, China, Germany, France, Russia and the United States.
"France officials including its president are well aware that levelling false accusations against the Islamic Republic of Iran stands in stark contradiction to the realities of the Middle East over the past decades", Qassemi responded. The fate of the deal has fallen on the US Congress which has 60 days to reimpose nuclear sanctions.
Iran denies the allegations and says its missiles are needed for self-defense and that its nuclear program has purely peaceful aims.
Obama's successor Trump decertified the deal last month and slapped sanctions on Iran's powerful Revolutionary Guards.