Several explosions have been heard in central Baghdad, near coalition headquarters in the Iraqi capital.
Tensions remain high as daily attacks continue
The attack followed the killing of seven Iraqi policemen by gunmen in two separate shootings near Ramadi, west of Baghdad, on Sunday.
US forces are now holding a top al-Qaeda operative captured in Iraq at the weekend, President George Bush said.
"There's one less enemy to worry about with the capture of Hassan Ghul," Mr Bush said.
Coalition officials said a rocket landed on Monday in the US-controlled area of Baghdad known as the "green zone".
They said it struck an open parking area and there were no casualties or damage to buildings.
It remains to be confirmed that there was only one rocket.
"Take cover, take cover," said a warning message played over loudspeakers in the zone after the blast.
The "green zone" has come under attack regularly since it was established last spring.
The latest attack came eight days after a suicide car bombing left at least 20 people dead and 60 injured at US headquarters in Baghdad.
A United Nations team is investigating the possibility of bringing international staff back to Iraq.
The UN pulled out following an attack on its headquarters in August 2003 that killed almost two dozen people, including special representative Sergio Vieira de Mello.
According to President Bush, Hassan Ghul reported directly to senior al-Qaeda operative Khalid Shaikh Mohammed, who is now in US custody overseas.
The Iraqi government minister in charge of internal security, Nouri Badran, on Monday blamed al-Qaeda for some of the attacks in Iraq, especially suicide car bombings.
"There is a presence of al-Qaeda in this country," he said.