The Polish foreign ministry said the rocket fell in Przewodow, a village in eastern Poland about 6 kilometres (3-1/2 miles) from the border with Ukraine at 3:40 pm on Tuesday.
Putin accused the West in engaging in nuclear blackmail and noted statements of some high-ranking representatives of the leading NATO states about the possibility of using nuclear weapons of mass destruction against Russia.
Finland, which shares a 1,300-km (810-mile) border with Russia, and Sweden are considering joining the NATO alliance. Finland will decide in the next few weeks, Prime Minister Sanna Marin said on Wednesday.
Zelenskiy urged NATO members to impose a no fly zone to stop the Russian air force, saying this would be a preventative measure and not meant to drag the alliance into war with Russia.