The coalition said in a statement that the CH-47 Chinook helicopter had "a sudden, unexplained loss of power and crashed."
Reuters quotes residents as saying the helicopter went down in the Shah Joy District of Zabul Province.
Taliban insurgents are active in the southern province on the border with Pakistan.
International forces have lost several helicopters in recent years but only one was believed to have been shot down.
(AFP, AP, Reuters, dpa)