The US military said it had no immediate information but was investigating. The blast was heard in the early morning hours of Monday.
Fighters have often fired mortar bombs and rockets at the government and diplomatic compound, known as the Green Zone, at night.
But attacks on the heavily fortified home of the US and British embassies and the Iraqi government have decreased lately.
On Sunday, US marines and Iraqi troops set up checkpoints and imposed an 8pm to 6am curfew on the city of Ramadi, part of a nationwide effort to stop the fighting after last month's election.
The operation followed bombings on Shia Muslims, killing at least 50, while they were marking Ashura, the most important day in the Shia religious calendar.