Threatening to impose economic sanctions and repeating "false accusations" will not undermine the country's standing, said the statement on Saudi Arabia's official press agency, which quoted an "official source".
Concern over the disappearance has seen a growing number of attendees pull out of a "Davos in the Desert" investment conference set for October 23-25, which has become the biggest show for investors to promote Saudi Crown Prince Mohammed bin Salman's reform vision.
It has been almost two weeks since Khashoggi was last seen, stepping through the grey metal gates to the Saudi mission at 1.14 pm local time on October 2 to organise paperwork for his wedding.
Saudi Arabia Sunday warned against threats to punish it over last week's disappearance of journalist Jamal Khashoggi, as European and US allies piled on pressure.
Saudi Arabia's Future Investment Initiative, which has been nicknamed "Davos in the Desert", is due to start on Oct 23 and bills itself as "a blueprint for the 22nd century".
This statement came after the Saudi stock market plunged by almost 7 percent at one point on Sunday.
Then journalist Jamal Khashoggi disappeared after visiting the Saudi consulate in Turkey, leading the Turkish authorities to accuse Saudi Arabia of killing the writer who had criticised his kingdom's government.
Zinedine Zidane's agent discusses rumours linking Zizou to Manchester United
The home side battled from 2-0 down to win 3-2 at Old Trafford and alleviate some of the pressure on manager Jose Mourinho . The Swedish striker told Swedish betting outlet BetHard: "I think he is the right coach for that club, for that team".
They said there must be a credible investigation to establish the truth and "if relevant" identify those responsible for Khashoggi's disappearance.
Mr Aldakhil added that Saudi arms purchases from the U.S. and other trade could be at risk as well.
Turkish officials say they believe Khashoggi was killed inside the Saudi mission and lurid claims suggesting he was tortured and even dismembered have been leaked to the media.
In a column published just after the SPA statement, Saudi-owned Al Arabiya channel's general manager Turki Aldakhil warned that imposing sanctions on the world's largest oil exporter could spark global economic disaster.
"We are seeing a massive backlash right now on tech companies and investors who are receiving funding from the Saudi Arabian government", Constellation Research's Ray Wang told CNBC.
Mr Khashoggi, a United States resident and "Washington Post" columnist critical of Saudi Arabia, disappeared on October 2 after entering the Saudi consulate in Istanbul. If materialized, the IPO will be a historic event in Silicon Valley and a huge payday for Uber's major investors, most notably the Saudi royal family and the SoftBank Vision Fund, according to Wall Street's latest estimate of the ride-hailing giant's worth.