Rockets spokesman Nelson Luis said Sunday that Lee contacted a team security guard to tell him he was OK.
Lee tweeted about the incident, saying he was thanking God and "thanking Cadillac for air bags!! Without them, I could have lost my life tonight and two others close to me."
A Houston police spokesman did not immediately return a call Sunday from The Associated Press.
Lee has started the last two games in place of leading scorer Kevin Martin, who's out with inflammation in his right heel. Lee scored 14 points in Houston's 97-84 win on Saturday night.