He was being questioned about problems with a Trident missile test last June.
The ex-defence minister said that "years ago" a Seaslug aircraft missile was "fired into Wales" by mistake.
It is believed he was referring to an incident in Cardigan Bay in 1958 involving HMS Girdle Ness, when a missile crashed into a hillside.
Giving evidence to the Commons Defence Committee on Tuesday, Lord West said: "Years ago we had an aircraft missile called the Seaslug missile and we fired one into Wales."
"Those sort of things happen but you don't go and talk to the prime minister about that, unless their constituency happens to be there," he added.
A surface-to-air missile was once accidentally fired into Wales by the Royal Navy, the Labour peer Admiral Lord West has told MPs.