The journalist disappeared after entering the Saudi consulate in Istanbul on 2 October, but the U.S. president said it sounded like neither the king nor Crown Prince Mohammed bin Salman had knowledge of the incident.
So far it still remains unclear how Trump would "punish" the kingdom economically over the journalist's disappearance, but major figures in the US Congress, such as Florida Senator Marco Rubio, have suggested halting arms sales to Saudi Arabia.
A man enters Saudi Arabia's consulate on October 12, 2018 in Istanbul, Turkey.
The search represents new co-operation between Turkey, which says it fears Khashoggi was killed and dismembered there, and Saudi Arabia, which maintains the allegations it faces are "baseless" despite being unable to explain what happened to Khashoggi.
President Trump warned the U.S. would inflict "severe punishment" if Saudi Arabia was behind his disappearance.More news: Beto O’Rourke Shatters Campaign Records by Raising $38.1 Million
Dissident journalist and Washington Post contributor Khashoggi, 58, has been missing since last Tuesday after entering the Saudi consulate to gather documents for marriage.
Asked if he had reviewed the purported recording of Khashoggi's killing, Trump told reporters on Saturday: "I have not".
Saudi Arabia's Public Investment Fund (PIF), which hosts the conference, had tentatively committed $20bn to an infrastructure investment planned with Blackstone Group.
But Trump, who has frequently boasted about his business ties with the kingdom, suggested during the CBS interview that ending US arms sales to Saudi Arabia would not be an option, saying, "I don't want to hurt jobs".
The UK, Germany and France have demanded a credible investigation into the disappearance. "We are following the situation closely, and unless a substantially different set of facts emerges, I won't be attending the FII conference in Riyadh".
The chief executive of JPMorgan Chase & Co., Jamie Dimon, had been a featured speaker at the conference in Riyadh.
Saudi Minister of Information Awwad al-Awwad tweeted on Sunday that the kingdom "always prevails against its enemies. under the wise leadership of the king and crown prince" using the Arabic hashtag #Saudis_In_Line_With_TheLeadership.
James Dorsey, a fellow at Singapore's S. Rajaratnam School of International Studies, said Saudi Arabia was stepping up moves against criticism.