The Defense Ministry says the misfire is an extraordinary occurrence, as it's the first such event within the past fifteen years since NATO has been patrolling Baltic skies.
The incident took place near Estonia's Otepää. Though the missile has a built-in self-destruction system, it's possible it did not explode and has landed somewhere.
"Our territory has not been affected. Furthermore, NATO reacted swiftly and initiated an interior procedure over this event," said Jānis Garisons, State Secretary for the Defense Ministry.
He also noted that usually during practice civil aviation is warned about military flights, and in this case the altitude closed off to civil aviation was above the plane, and the stray rocket could not have hit another aircraft.
Estonia has not requested any assistance from Latvia, but it is understood Estonian defense forces are still looking for the missile. Members of the public have been warned that if they see something missile-like in the woods, it could be a missile and should therefore inform the authorities but not go missile-hunting themselves.
Estonian Prime Minister Jüri Ratas and Jens Stoltenberg, the Secretary General of NATO, discussed the incident in a telephone call Wednesday.
"I told the secretary general of NATO that it is a serious incident and we are understandably concerned about this in Estonia. Thank God that as far as we know, no one was hurt as a result of the incident," said Ratas.
"I asked Jens Stoltenberg to take yesterday's incident very seriously and promptly identify the circumstances. There is no doubt that Estonian authorities contribute to it in every possible way. The Secretary General confirmed that all allies including those involved in the air policing will do the same. The air policing mission of NATO is an important part of ensuring the security of Estonia and the whole alliance," said the prime minister.